SO R S FN C N C G S S C F B o (TranslatOCIETÀ PER AZIEGISTERED OFFI HARE CAPITAL: ISCAL CODE ANO. 01329510158 OMPANY REGISO.1.00014 OMPANY BEING ROUPS NO.008 UBJECT TO THE Solve Cond FY 20 Board of 4 th M ion from the It ONI ICES: VIA IGNAZ EURO 67,378,924 D MILAN COMPA - REA NO. 54871 TERED TO REGIS PART OF VITTOR DIRECTION AND ency dition 017 of Dire May 20 talian original IO GARDELLA, 2 4 FULLY PAID-UP ANIES REGISTER STER OF INSURARIA ASSICURAZIO D COORDINATION and Rep ectors 018 which remain - 20149 MILAN - NCE AND REINSU ONI GROUP REG N EXERCISED BY Finan ort s the definitive ITALY URANCE COMPA ISTERED TO REG Y THE PARENT CO ncial e version) ANIES -- SECTION GISTER OF INSUR OMPANY YAFA S. I RANCE P.A.
Transcript
SORSFINCNCGS
SC F Bo
(Translati
OCIETÀ PER AZIOEGISTERED OFFIHARE CAPITAL: EISCAL CODE ANDO. 01329510158 OMPANY REGISTO.1.00014 OMPANY BEING ROUPS NO.008UBJECT TO THE
SolveCond
FY 20
Board of 4th M
ion from the It
ONI ICES: VIA IGNAZEURO 67,378,924D MILAN COMPA- REA NO. 54871
OVERVIEW OF THE MAIN DATA RELATING TO SOLVENCY POSITION...........................6
A. BUSINESS AND PERFORMANCE..................................................................................................8
A.1 Business ........................................................................................................................................................ 8
A.4 Performance from other activities ............................................................................................................ 13
A.5 Other information ....................................................................................................................................... 13
B. SYSTEM OF GOVERNANCE.........................................................................................................14
B.1 Overall information on the system of governance ................................................................................. 14
B.2 Fit and proper requirements .................................................................................................................... 27
B.3 Risk management system, including the own risk and solvency assessment (ORSA) .................... 32
B.4 Internal control system .............................................................................................................................. 36
B.5 Internal Audit Function .............................................................................................................................. 40
B.6 Actuarial Function ...................................................................................................................................... 43
B.8 Other information ....................................................................................................................................... 46
C. RISK PROFILE....................................................................................................................................47
C.6 Other material risks .................................................................................................................................... 52
C.7 Other information ........................................................................................................................................ 52
D. VALUATION FOR SOLVENCY PURPOSES.............................................................................53
D.2.1 Technical provisions: value for material asset area ........................................................................... 58
D.2.2 Technical provisions: main bases, methods and assumptions used for the solvency assessment.............................................................................................................................................................................. 58
D.2.3 Uncertainty level associated to the value of the technical provisions ............................................. 62
D.2.4 Difference between Solvency II assessment and balance sheet assessment ............................... 62
D.3 Other liabilities ........................................................................................................................................... 66
D.4 Alternative methods for valuation ............................................................................................................ 67
D.5 Other information ....................................................................................................................................... 67
E. CAPITAL MANAGEMENT...............................................................................................................68
E.1 Own funds ................................................................................................................................................... 68
E1.1 Eligible own funds as at 31 December 2017 ........................................................................................ 68
E.2 Solvency Capital Requirement and Minimum Capital Requirement ................................................... 76
E.3 Utilization of the equity risk submodule based on the duration of the calculation of the solvency capital requirement ........................................................................................................................................... 78
E.4 Differences between the standard formula and the internal model used .......................................... 78
E.5 Non-compliance with the minimum capital requirement and non-compliance with the solvency capital requirement ........................................................................................................................................... 78
E.6 Other information ....................................................................................................................................... 78
REPORT OF INDEPENDENT AUDITORS......................................................................................95
Introduction The Solvency II Directive came into effect on 1 January 2016. In particular, as a result of the amendments to the code of private insurance companies (Italian Legislative Decree no. 209 of 7 September 2005), the Italian Legislative Decree no. 74 of 12 May 2015 enacted the Directive 2009/138/EC of the European Parliament and Council, by providing the Italian regulatory framework with the new solvency regime (Solvency II) to which insurance and reinsurance undertakings are subject. Solvency II is based on three pillars: first, the quantitative capital requirements and quantification of risks; second, the qualitative requirements, with a particular focus on the corporate governance within the companies; third, the rules of transparency and disclosure to the public and the regulator. Aimed at fulfilling the market transparency requirements, this Solvency and Financial Condition Report (SFCR) is prepared in accordance with the reporting criteria and structure defined by following laws and regulations: 1 Level Regulation
- Italian Legislative Decree no. 209 of 7 September 2005 and subsequent amendments (Code of private insurance companies (hereinafter ‘‘Code’’).
2 Level Regulation
- Directive no. 2009/138/EC of the European Parliament and Council (hereinafter ‘‘Directive’’); - Delegated Regulation (EU) 2015/35 of the Commission, of 10 October 2014; - Delegated Regulation (EU) 2015/2452 of the Commission, of 2 December 2015;
3 Level Regulation
- IVASS Regulation no. 33 of 6 December 2016. The Solvency and Financial Condition report is divided into 5 sections, accompanied by a series of QRT to be attached: A. Activities and results It provides information on the company and the external auditor appointed by the Shareholders' Meeting. It contains information concerning the supervisory discipline to which the company is subject, the position of the company in the legal structure of the group, the holders of qualifying holdings in the company and the business and geographical areas in which the Company operates. Here are also summarized the operating results for each business area in which the company operates and the results deriving from the investments held. B. Governance System The section is dedicated to describing the corporate governance system and the risk management system that the company uses and the Own Risk and Solvency Assessment (ORSA). In particular, it contains information regarding the structure, roles, responsibilities, competence and integrity requirements and the remuneration policy of the administrative or supervisory board. It outlines any substantial changes in the governance system that took place during the reporting period or substantial transactions carried out with Shareholders, with persons having a significant influence on the company and with the members of the Administrative, Management or Supervisory Board.
4
C. Risk profile
It contains information on exposure, concentration and risk mitigation for each type of risk, together with a description of the methods used, the hypotheses formulated and the results of stress tests in relation to risk sensitivity. D. Solvency assessment It describes, for each class of assets and liabilities, including technical provisions, the methodology used to determine the Balance Sheet prepared for solvency purposes and a quantitative and qualitative explanation of the significant differences between the bases, the methods and the main assumptions used by the company for solvency assessment and those used for valuation in the financial statements. For each class of assets and liabilities, including technical provisions, it shows the Local GAAP and Solvency II value. E. Capital Management The chapter provides information on the structure, amount and quality (expressed in three classes, so-called Tier) of the company's own funds, together with the targets to be achieved and the policies and processes applied to manage the own funds, and the time horizon used for planning activities. It describes the elements of the reconciliation reserve, together with an analysis of the substantial changes in own funds during the reference period (the latter starting from the second reporting period, 2017). It includes information on the Solvency Capital Requirement and the Minimum Capital Requirement of the company. 10 QRTs are required to be attached to the document
5
Overview of the main data relating to solvency position The table below sums up the main data that are helpful to understand the solvency situation of the undertaking in relation to the financial year ended 31 December 2017.
Overview of key solvency data (€/000)
31/12/17 31/12/16 Change
A Solvency Capital Requirement (SCR) 424,977 374,909 13.4%
B Minimum Capital Requirement (MCR) 191,239 168,709 13.4%
C Eligible own funds to meet Solvency Capital Requirement 918,359 819,699 12.0%
D Net deferred tax assets 3,102 20,861 -85.1%
C-D Eligible own funds to meet Minimum Capital Requirement 915,258 798,838 14.6%
C/A Ratio of Eligible own funds to SCR 216.1% 218.6% -2.5
(C-D)/B Ratio of Eligible own funds to MCR 478.6% 473.5% 5.1 During 2017, IVASS authorized the Company to use USP (Undertaking Specific Parameters) starting from data as at 31 December 2016. Data indicated in the table above were therefore calculated using the Standard Formula with USPs and the Volatility Adjustment. The Undertaking Specific Parameters (USPs) are a subset of parameters of the Standard Formula represented by specific values of the Company that replace, prior approval by the Regulator, the values determined by EIOPA at European level. These parameters are referred to the valuation of the Solvency Capital Requirement. The Volatility Adjustment (VA) is a mechanism that enables the Companies to reduce the disruptive effects due to the Solvency II valuation approach which aims to produce some volatility in the Own Funds, as assets and liabilities (valuated with market logic) are generally enhanced through different discounting curves: liabilities, through a risk-free interest rate curve, for all European Companies; assets, mainly bonds, depend on the type of the issuer which the single Company is exposed to. The Volatility Adjustment (VA) is used to discount future cash flows related to insurance contracts using, instead of the risk-free curve, a curve that is more representative of the bond portfolio held as at the valuation date. The VA curve is set by EIOPA for each country defining the values of the additional spreads to be applied to the risk-free interest rate curve. As required by laws and regulations, this Report outlines the quantitative impact of this choice. During the period under review, the Company mainly recorded ordinary changes both in terms of governance and activity, results and risk profile (redefinitions of responsibility, review and adjustment of policies and the issue of new policies), as well as a change to the portfolio of investments, which however continued a trend already started in the last months of 2016. In addition, in 2017, the indirect parent company Yafa S.p.A. took over the role of Parent Company of the Vittoria Assicurazioni Group, with the consequent need for coordination between the Parent Company and the Company.
6
As regards the risk profile, the most significant change regards the increase in the Market Risk module, mainly due to the Company's greater propensity, as already noted at the end of 2016, to invest, either directly or through funds, in debt instruments, as well as - to a lesser extent - in equity instruments. The other relevant modules did not give rise to significant changes and, as regards the insurance portfolio, the risk exposures mainly refer to the Non-life and Health components. The overall increase of the Sr.R. (+ 13.4%) was partly offset by the increase in Own Funds (+ 12.0%), resulting in a reduction of the Solvency Ratio from 218.6% to 216.1%,an improvement on the amount anticipated in the draft budget, approved by the Board of Directors on March 15, 2018 (210.5%).
7
A. Business and performance
A.1 Business
A.1.1 Name and legal form of the undertaking Vittoria Assicurazioni S.p.A. is a limited company founded in 1921. It is listed on the Milan Stock Exchange.
A.1.2 Regulator responsible for the undertaking’s supervision Vittoria Assicurazioni S.p.A. and the Group it belongs to are subject to the supervision of IVASS, namely the Italian regulator, based in Rome. As issuer of listed shares on the electronic share market (MTA) managed by Borsa Italiana S.p.A., Vittoria Assicurazioni is also subject to the supervision of CONSOB, namely the Italian Securities Commission, based in Rome.
A.1.3 External auditor The Shareholders’ Meeting of 20 April 2012 appointed the following audit firm for the period 2012 --- 2020: Deloitte & Touche S.p.A. Via Tortona, 25 20144 - Milan
A.1.4 Qualifying holdings in the undertaking (pursuant to Article 13(21) of Solvency II decree) As at the date of this Report, qualifying holdings in Vittoria Assicurazioni S.p.A. are only held by Mr Carlo Acutis, through the following participations, held through the controlled company Yafa S.p.A.:
Vittoria Capital S.p.A. 51.15% Yafa Holding S.p.A. 8.09%
A.1.5 Undertaking’s position within the legal structure of the group Vittoria Assicurazioni is part of the Vittoria Assicurazioni insurance group, registered under no. 008 of the Insurance Groups Register held by IVASS and, therefore, is subject to the management and coordination of the parent company Yafa S.p.A.
8
The chart below shows the subsidiaries and associates of Yafa S.p.A. and Vittoria Assicurazioni as at 31 December 2017:
99,99%
100% 100%
82%
100%
51.15%
100%
24.46% 29.14%
100% 100%
100%
42.81% 46.65% 100% 100%
71.60% 100%
28.40% 100%
100%
100%
100%
70%
100%
60%
51%
60%
50%
49%
49%
49%
45%
46%
40%
45%
40%
27,31%
25%
18.75% 18.75%
6.45% 20.33%
8.09%
98.83%
IMMOBILIARE BILANCIA PRIMA S.R.L.
VITTORIA PROPERTIES S.R.L.IMMOBILIARE BILANCIA S.R.L.
ACACIA 2000 S.R.L.
VALSALARIA S.R.L.
TOURING VACANZE S.R.L.
PLURICO S.R.L.
ASSIORVIETO SERVIZI SRL
V.R.G. DOMUS S.R.L.
YARPA S.P.A.
VP SVILUPPO 2015 S.R.L.
CONSORZIO MOVINCOM S.c.r.l. in liquidation
PAMA & PARTNERS S.R.L.
VAIMM SVILUPPO S.R.L.
V.Z. REAL ESTATE S.R.L.
GESTIMMOBILI S.R.L.
ROVIMMOBILIARE S.R.L. IN LIQUIDATION
VALSALARIA A.11 S.R.L.
MOVINCOM SERVIZI SRL in liquidation
YAREAL BV
ASPEVI ROMA Srl
INTERIMMOBILI S.R.L.
MOSAICO S.R.L.
FIORI SAN BOVIO S.R.L.
ASPEVI MILANO Srl
VITTORIA IMMOBILIARE SPA
INTERBILANCIA S.R.L.
ASPEVI FIRENZE SRL
TOURING DIGITAL S.R.L.
CARLO ACUTIS
YAFA SPA
YAFA HOLDING SPA
VITTORIA CAPITAL SPA
VITTORIA ASSICURAZIONI S.P.A.
YURA INTERNATIONAL SPA
YAREAL UK LTD
YAREAL HUMBY LTD
YAREAL LLANFORDA LTD
PORTA ROMANA 4 SRL
YAM INVEST NV
Companies belonging to the Insurance Group
9
A.1.6 Undertaking’s material lines of business and material geographical areas where it carries out its business Vittoria Assicurazioni is an independent insurance company founded in Milan in 1921. The Company operates in all Life and Non-Life insurance segments on the whole national territory through a business network with over 400 Agencies. Through its subsidiaries, it conducts activities of trading and real-estate development, as well as insurance mediation, exclusively in Italy.
10
A.2 Underwriting performance The table below provides information on the performance as at 31 December 2017, compared with data of the previous period.
With reference to the Non-Life Business, the Company carries out accepted quota share reinsurance activity, whose performance as at 31 December 2017 is positive for 57 thousand euro (48 thousand euro as at 31 December 2016). At 31 December 2017 there are no reinsurance obligations of the life business (31 December 2016 showed a profit of 30 thousand euro).
A.3 Investment performance The table below provides the total revenues, net of expenses, from investments held by the Company:
Revenues refer to income relating to the period, such as coupons, dividends, gains on disposal or reimbursement, value re-adjustments and leasing instalments. Costs refer to expenses that were directly and indirectly borne for the management of investments, expenses on disposal or reimbursement and value re-adjustments and the depreciation charge of real estate properties under lease. The result of investments with risk borne by the Company went from 119,428 thousand euro to 38,349 thousand euro, down by 81,079 thousand euro. This decrease is mainly attributed to the extraordinary sale of Italian government securities allocated to Non-Life business, which took place in the previous year, which generated 44,037 thousand euro in extraordinary capital gains, net of the tax effect. Therefore, the weighted average yield of the "bonds and other fixed income securities" segment decreased from 6.4% at 31 December 2016 to 1.8% at 31 December 2017.
A.4 Performance from other activities The Company carries out exclusively insurance business.
A.5 Other information
Nothing to be reported.
(€/000)
Investment performance Total income Total costTotal net income
Total net income
Change
31/12/2017 31/12/2017 31/12/17 31/12/16
Investments (other than assets held for index-linked and unit-linked contracts)
Property (other than for own use) 6,084 (6,681) (597) 85 (682)
Holdings in related undertakings, including participations 55 (955) (900) (8,433) 7,533
Deposits other than cash equivalents 10 - 10 11 (1)
Total Investments (other than assets held for index-linked and unit-linked contracts)
79,524 (41,175) 38,349 119,428 (81,079)
Assets held for index-linked and unit-linked contracts 4,485 (2,069) 2,416 (187) 2,603
Total 84,009 (43,243) 40,765 119,241 (78,476)
13
B. Syste
B.1 Ove Vittoria Asscomplete sfunctions, hMeeting. In its goveGovernanceby Borsa ItGovernance
The Compathat since Mtherefore reto art. 215-bthe Parent Cthe subsidiaestablishedmanageme
em of Go
erall inform
icurazioni msegregation handled by
rnance syste Code of listaliana. S.p.Ae Code").
any is subjecMay 2017 haesponsible fobis, paragraCompany Yaaries with ref
d by the cnt of risk con
overnanc
mation on
management between adthe Board o
tem, Vittoria sted CompaA., ABI, Ania
ct to the manas assumedor the implemaph 2 of the afa S.p.A. arference to thurrent reguncentration.
ce
n the syst
and control ministrative
of Statutory A
Assicurazionies approva, Assogesti
GOVERN
nagement an the role of
mentation of tInsurance Cre identified he activities nlations on
tem of go
framework ifunctions, hAuditors. Bo
oni adheres ed by the Cioni, Assonim
NANCE STR
nd coordinatParent Comthe corporat
Code. The arin the Grou
necessary fogroup solve
overnance
s based on handled by toth boards a
to the princorporate Go
me and Con
RUCTURE
tion of Yafa Smpany of the
e governancreas subject p Regulation
or the Parentency, contro
e
the traditionthe Board oare appointe
ciples envisaovernance Confidustria (he
SpA, the lastVittoria Ass
ce provisionsto the direc
ns, which regCompany it
ol of intrag
nal pattern, wof Directors, ed by the S
aged by theommittee an
ereinafter the
t Italian pare
sicurazioni Gs at group lection and coogulate the otself to perfogroup transa
which entailsand control
hareholders’
e Corporatend promotede "Corporate
ent companyGroup and is
vel pursuantordination ofbligations ofrm the tasksactions and
s l ’
e d e
y s t f f s d
14
The Regulation also has the purpose of not affecting the duties and responsibilities of the Board of Directors of Vittoria Assicurazioni with regard to the strategic guidelines for which it is responsible, in particular decisions concerning business strategies, in compliance with the guidelines provided by the Parent Company. The Regulation provides for a differentiated management of the application areas of intragroup coordination, delegating to Vittoria Assicurazioni the direction and coordination of its subsidiaries and all its control and risk management currently implemented as defined by the regulation of IVASS, attributing to Yafa S.p.A. direct management and coordination on the other subsidiaries.
B.1.1 Roles and responsibilities of the administrative, management or supervisory bodies and key functions Structure of the Board of Directors
The Board of Directors in office was appointed by the Shareholders’ Meeting held on 27 April 2016 for the FYs 2016, 2017 and 2018, hence till the date of the Meeting that will approve the financial statements as at 31 December 2018. Pursuant to art. 14 of the Bylaws, the Board of Directors has internally constituted six committees with consulting and advisory functions, listed in the table above. The duration of the mandates to the committees coincides with that of the Board of Directors. In setting up the committees, the Board, in addition to taking into account the provisions of the Corporate Governance Code, considered the Company's operations, in particular with regard to investments in the real estate sector and the indications emerged from the self-assessment processes concerning the Board's operations. pursuant to the provisions of Isvap Regulation no. 20 and of the Corporate Governance Code. In the composition of the Committees, the Board considered the requirements envisaged by the Corporate Governance Code, the professional profiles of the Directors, their past experience as well as the number of other positions held and the willingness shown by the individuals concerned. The Board of Directors has attributed to the Chief Executive Officer the role of Director in charge of the internal control and risk management system envisaged by art. 7.P.3 of the Corporate Governance Code.
STATUTORY AUDITORS
INDEPENDENT AUDITOR
CONTROL AND RISK
COMMMITTEE
APPOINTMENT AND
REMUNERATION COMMITTEE
REAL ESTATE COMMITTEE
STRATEGIES COMMITTEE
RELATED-PARTIES COMMITTEE
FINANCE COMMITTEE
SHAREHOLDERS MEETING
BOARD OF DIRECTORS
15
COMPOSITION OF THE BOARD OF DIRECTORS At the date of preparation of this Report, the Board of Directors is made up as follows:
Exec.Indep.
TUFIndep. Code
Control and Risk
Appoint. Remuner
Related Parties
FinanceReal
EstateStrateg.
ACUTIS CarloEmeritus Chairman
M X X X
ACUTIS Andrea Chairman M P P P
GUARENA Roberto Vice Chairman M X
CALDARELLI CesareManging Director
X M X X X
ACUTIS BISCARETTI di RUFFIA Adriana
Director M X X
BRIGNONE Marco Director M X X X
COSTA Giorgio Director M X X X
GUERRA SERAGNOLI Lorenza
Director M X X
MARSIAJ Giorgio Director M X X
MASSARI Maria Antonella
Director m X X X P
MORENA Marzia Director M X X X
PAVERI FONTANA Luca
Director M X X X
SPADAFORA Giuseppe
Director M X X P X X X X X
URBAN Roberta Director M X X X X P X
M/m: majority/minorityP: Chairman of the Commitee
16
ProfessionaAll Directorsfields of insservices an
Board of
Evolution f
Number of D
Directors de
Percentage
Percentage
Percentage
Average ag
Status of the
Appointmen
The indepeCorporate G
40%
Insuranc
al backgrous have manaurance, finand other sect
Directors
rom the pre
Directors
esignated by
e of female D
e of Independ
e of Independ
ge of Directo
e Chairman
nt of the Lea
endence of Governance
%
ce
3
und of Direcagerial or teance and realors
s Members
evious Board
y minority
Direcotrs
dent Directo
dent Directo
rs
ad Indipende
the DirectorCode of liste
67%
Finance and Real Estate
0-3 years 29%
3-12 years 14%
tors aching experl estate, indu
ship
d
rs as per TU
rs as per Co
ent Director
rs is assessed companie
27%
IndustryOt
rience in the ustry,
UF
ode
sed accordines approved
%
y, Services, thers
Interexpe
Previo
Non e
ng to criteria by the Corp
> 12 ye57%
national erience of Di
ous Board
16
1
25%
63%
63%
63
executive
Yes
a and princporate Gover
47
Consiglieri cointernaz
Directors withexper
ars %
irectors
Curren
3
6
5
Non e
Y
ciples envisarnance Code
7%
on esperienzazionale
h international ience
nt Board*
14
1
36%
64%
50%
63
executive
Yes
aged by thee.
e
17
Functions of the Board of Directors
The functions of the Board of Directors are determined according to provisions under the By-Laws, as well as under applicable laws and regulations. Pursuant to Article 14 of the By-Laws, the Board of Directors is vested with the broadest and unlimited powers for the ordinary and extraordinary management of the Company; all the necessary and opportune powers are conferred upon it for implementation and achievement of the corporate objectives that are not expressly reserved to the General Meeting. The Board of Vittoria Assicurazioni is responsible for defining the process for the recognition, current and future assessment, monitoring, management and reporting of risks at an individual level, with the power to issue provisions, with regard to the subsidiaries of the Company, on corporate governance and risk control and management, within the guidelines established at Group level by the Parent Company. The Board of Directors of Vittoria Assicurazioni S.p.A. approves, with the support and the prior analysis of the Strategies Committee, the strategic plan of the company, determining the objectives on the basis of the macroeconomic and market framework. The Company is currently implementing the 2017/2019 strategic plan approved at the beginning of the 2017 financial year. The Board of Vittoria Assicurazioni S.p.A. is in charge for the resolutions regarding transactions that have a significant strategic, economic, equity or financial importance for the Company, as shown by the limits of the powers conferred. In particular:
‐ buy and sell controlling interests in other companies or entities, with the exception of those concerning real estate companies, for which the CEO has been empowered up to a limit of 10 million euros for each transaction;
‐ purchase, underwrite, negotiate and sell, give and take back shares, convertible bonds, shares in companies and entities, and debt securities in general, for amounts in excess of fifteen million euro; if the deeds do not concern transactions aimed at investing and disinvesting financial resources, but are aimed at the acquisition and sale of investments in insurance companies or in companies with objects directly connected to and instrumental to such activity, the aforementioned limit it is reduced to ten million euros;
‐ issue sureties and endorsements to third parties, with the exception of those referring to the performance of the insurance business of the Credit and Deposits business.
Furthermore, the Board of Directors approves specific policies with the purpose of determining the overall internal control and risk management system, determining, in particular, the levels of risk appetite of the company. For this purpose the Board:
‐ identifies the strategic guidelines relating to equity investments, determines the identification criteria (including those related to strategic holdings), approves the assumption and approves the processes for development and management;
‐ defines the guidelines for strategic planning and, in line with what is defined in the Investment, ALM and Liquidity Policy and in the Infragroup Transactions Policy, defines the investment areas through participation in companies;
‐ defines the levels of risk tolerance, with particular reference to investment, ALM and liquidity activities, the risks of underwriting and reserving both Life and Non-Life and the risks associated with the use of reinsurance;
‐ defines the net retention level of the risks, the characteristics of the reinsurance cover that the Company intends to stipulate, the objectives and the consistency of the same for the purposes of hedging the risks assumed and the criteria used for the selection of reinsurers.
‐ The Board annually approves the budget for the current year and, upon approval of the accounting data for the period (financial statements, half-year and quarterly), verifies the implementation, evaluating the performance of the management and comparing the results achieved with those programmed.
The Board approves annually the organization chart and the company's function chart, documents that identify and define the responsibilities related to the main corporate decision-making processes, together with the model of delegations and powers of attorney that defines the articulation of responsibilities assigned to the individual operating units.
18
Functions of the Control and Risk Committee
The Committee is composed entirely of Independent Directors, as also required by art. 16 of the Consob Market Regulations. The main role of the Control and Risk Committee is to provide support for assessments and decisions made by the Board of Directors concerning the guidelines and adequacy of the risk management and control system, in terms of effectiveness and efficiency. In particular, in assisting the Board of Directors, the Committee:
- assesses, on a yearly basis, the adequacy of the internal control and risk management system with respect to the characteristics of the Company and with the assumed risk profile, as well as its effectiveness;
- reports to the Board of Directors on the work done and on the adequacy of the Internal Control System and Risk Management system;
- checks the updates of the RAF (Risk Appetite Framework), as well as the formalisation and distribution of related documentation;
- ensures the existence of adequate processes and systems to define risk appetite and for constant monitoring;
- checks formalisation of escalation processes to implement if risk appetite tolerance levels are not satisfied;
- monitors implementation of assessments, also under conditions of stress, on a set basis and with each event;
- checks execution of any corrective measures defined by the Board of Directors or Senior Management, in the case of deviation within or over tolerance thresholds, respectively;
- reviews the risk assessment and management policies; - analyses the ORSA report on methods, processes and results of internal, current and forward-
looking assessment of risks and solvency; - reviews reports provided by the internal audit department for the Board describing the activities
carried out and the outcome of audits performed to monitor adherence to the limits/parameters, also at quality level, set by the Board of Directors in relation to risk exposure.
In accordance with the Internal Audit Policy approved by the Board, the Committee provides the Board of Directors with its binding opinion on the appointment of the Head of Internal Audit and his/her remuneration. In addition, in accordance with Committee Regulation, it provides support to the Board of Directors in assessing the adequacy of resources given to the head of Internal Audit. Functions of the Appointment and Remuneration Committee
The Committee is composed entirely of Independent Directors, as also required by art. 16 of the Consob Market Regulations. As for the appointments, the Committee has the function of:
- formulating opinions to the Board of Directors with regard to the size and composition of the Board and of the Committees;
- making proposals for the organisation and functioning of the Board of Directors; - making recommendations with respect to:
(i) the professionals whose presence within the Board is deemed advisable; (ii) the maximum number of positions as director or statutory auditor in other companies listed on regulated markets (also abroad), in financial, banking, insurance companies or in companies of significant size, that would be compatible with the effective performance of a director’s duties, taking into account the directors’ participation in the committees within the Board of Directors of the Company; (iii) exemptions to the non-compete clause under Article 2390 of the Italian Civil Code.
- making proposals for the appointment of Directors; - making proposals to the Board for co-opting Directors; - making proposals to the Board for the appointment of the Chairman, Deputy Chairmen, Committee
members, Managing Director and General Manager;
19
- making proposals to the Board, in agreement with the General Manager, for the appointment of senior managers;
- assisting the Chief Executive Officer in preparing career and replacement plans for the Company’s Senior Management;
- carrying out the preliminary work for the preparation of the plan for the succession of the executive directors;
- carrying out checks as required by the Fit & Proper Policy approved by the Board of Directors; - supporting the Board in the analysis of the results of the annual evaluation on the functioning of the
Board and its Committees as well as on their size and composition; - assisting the General Manager of the Parent Company in formulating proposals for the appointment
of Directors, of the Chairman, Managing Director and General Manager of the subsidiary Companies;
- assisting the General Manager of the Parent Company in formulating proposals for the appointment of the Group Directors at the affiliated Companies.
With respect to remunerations, the Committee has the following functions:
- submitting proposals to the Board of Directors with regard to the definition of the policy for the remuneration of directors and senior managers with strategic responsibilities. In particular:
(i) making proposals or expressing opinions to the Board of Directors for the remuneration of executive directors, of Directors holding specific offices and of the General Manager, as well as for setting the performance targets related to the variable portion of said remuneration;
(ii) making proposals to the Board, as indicated by the General Manager, for setting the remuneration of the Senior Management of the Company in such a way as to attract and motivate high-calibre people;
(iii) checking the proportionality of the remuneration of the executive directors among them and compared to the company staff;
- verifying the enforcement of the Board of Directors’ decisions on remuneration, monitoring also the actual attainment of performance targets;
- periodically evaluating the adequacy, overall consistency and concrete enforcement of the policy on the remuneration of directors and executives with strategic responsibilities, relying, in this last case, on the information provided by the General Manager, and formulating proposals on this matter.
- assisting the CEO in formulating proposals to determine the remuneration of the Directors, the Chairman, the Chief Executive Officer and the General Manager of the subsidiaries.
Functions of the Related-Party Committee
The Committee is made up entirely of Independent Directors, as required by Consob Regulation 11721, which defines the duties assigned to it, referred to in the Procedure for the management of Transactions with Related Parties, approved by the Board of Directors. In particular, the Committee is responsible for conducting preliminary examinations of transactions with related parties submitted by the competent corporate departments and expressing opinions on their execution. In the performance of its duties, the Committee may access Company information and functions required to carry out its tasks and make use of the services of external consultants, under the terms approved by the Board of Directors. Functions of the Strategies Committee
The Committee supports the Board and Top Management by defining corporate objectives and strategies. In particular, the Committee assists the Board and Top Management in following activities:
- identification of market evolution and related strategic challenges to be addressed also with a view to sustainability; analysis of the different strategic options at disposal;
- definition of the multi-year strategic plans; - development of the Key Performance Indicators and their monitoring.
20
Functions of the Finance Committee
In the performance of preliminary fact-finding and proposal-making, the Finance Committee provides support to the Board:
- defining policies and strategies for risk management, risk appetite and capital management; - defining investment policies and strategies and supervising their implementation.
In defining the policies and strategies for risk management, the Committee: - assists the Board in conducting periodic reviews and management (implementation,
maintenance and monitoring) of the Risk Appetite Statement, i.e. the group of metrics, processes and systems to provide support in managing the level and type of risk the Company is willing to assume (risk appetite) according to its strategic objectives;
- provides support to the Board through consultations and proposals, defining management policies and risk assessment, including Capital Management Policies;
- provides support to the Board to define risk tolerance levels and for analysing the results of monitoring, with particular reference to investment activities, ALM and liquidity, subscription and reserve risks, both Damages and Life and risks related to the use of reinsurance;
- cooperates with Top Management and provides support to the Board of Directors in determining any corrective measures needed in the case of misalignment between actual risk exposure and risk appetite.
The Committee’s tasks include:
- periodically submitting for review the securities portfolios whose risk is borne by the Company and those whose risk is borne by policyholders;
- periodically submitting for review the financial position of Group real estate companies, auditing their compliance with the exposure limits set by the Board of Directors;
- assessing the results of the assessment process of internal risk and solvency, both current and forward-looking (ORSA), also using stress tests;
- assisting the Board in developing the capital management plan and in defining monitoring processes and tools;
- determining any amendments to Risk Appetite in order to align the risk profile deriving from comprehensive risk objectives (risk appetite) of the Company.
Functions of the Real-Estate Committee
The Committee has the following duties: - supervising over the performance of the Group’s real estate investments; - defining development strategies for the business segment; - assessing the investment proposals submitted by operating managers.
Structure of the Board of Statutory Auditors
The Board of Statutory Auditors in office was appointed by the Shareholders’ Meeting held on 27 April 2016 for the FYs 2016, 2017 and 2018, and hence till the date of the Meeting that will approve the financial statements as at 31 December 2018. As at the date of this Report, the Board of Statutory Auditors was as follows : Giuseppe CERATI Chairman Giovanni MARITANO Standing statutory auditor Francesca SANGIANI Standing statutory auditor Monica MANNINO Substitute statutory auditor Maria Filomena TROTTA Substitute statutory auditor
21
Functions of the Board of Statutory Auditors
According to the Legislative Decree no. 39 of 27 January 2010, which assigned the boards of statutory auditors of companies of public interest the function of ‘Control and Risk Committee and Statutory Audit', the functions assigned to the Board of Auditors and the Audit and Risk Committee of Vittoria Assicurazioni differ as follows:
- the Control and Risk Committee, established under the Code of Conduct, has preparatory and advisory duties to the Board of Directors;
- the Statutory Auditors are assigned the functions under Legislative Decree 39/2010, which supplement those already assigned to that organ, and remain control functions. The Board of Auditors holds no functions of management, co-management or management control.
Pursuant to Article 149 of the TUF, the Board of Statutory Auditors oversees: - observance of the law and the Company’s By-laws; - compliance with the principles of correct administration; - the adequacy of the organisational structure of company in terms of competency, the internal control
system and the administrative accounting system, as well as the reliability of the latter in providing a fair representation of operations;
- the procedures used for effective implementation of the corporate governance rules set out in the Corporate Governance Code adopted by the Company;
- the adequacy of the directives issued by the Company to its subsidiaries to ensure respect for the disclosure obligations prescribed by the TUF.
Pursuant to Article 19 of Legislative Decree no. 39 of 27 January 2010, the Board of Statutory Auditors also oversees:
- the financial and non-financial disclosure process; - the efficiency of the systems of internal control, internal audit, where applicable, and risk
management; - the statutory auditing of the separate and consolidated accounts; - the independence of the company engaged to carry out the statutory audit of the accounts, verifying
both compliance with the legislative provisions in this regard and the nature and extent of the various statutory auditing services provided to the Company and its subsidiaries by the auditing company and by the entities in its network.
In carrying out these duties, the Board of Statutory Auditors: - verifies that the definition of the delegations of authority is appropriate and that the organisation
structure is adequate, paying particular attention to the division of responsibility for duties and functions;
- attends meetings of the Internal Control Committee, during which it meets the heads of the departments responsible for the internal control system, i.e. Internal Audit, Compliance and Risk Management;
- assesses the efficiency and effectiveness of the internal control system, especially with regard to the operations of the Internal Audit, verifying that the department has the necessary autonomy, independence and functional efficiency;
- regularly exchanges information and data with the independent auditing company; - ensures the prompt exchange of data and information material to discharging its duties between the
boards of statutory auditors of Group companies through the presence of one of its members on the boards of statutory auditors of these subsidiaries.
In conducting its activities, the Board of Statutory Auditors coordinates with the Internal Audit Function and with the Control and Risk Committee by participating in all their meetings. Supervisory body
The Supervisory Body (SB), a collegiate body composed of three to five members and set up in compliance with the provisions of art. 6 of Legislative Decree n. 231/2001, performs supervisory and control functions with regard to the functioning, effectiveness, adequacy and compliance with the Organization and Management Model adopted by the Company in order to prevent the criminal offenses considered by the aforementioned legislation. In carrying out its functions, the Supervisory Body shall comply with the principles of autonomy and independence and for this purpose:
22
- only responds to the Board of Directors with whom it has a direct link or through the Control and Risk Committee; - has a direct link with the top management and with the Board of Statutory Auditors.
Auditor
On 20 April 2012, the Shareholders’ Meeting appointed Deloitte & Touche S.p.A. as independent auditor for 2012 --- 2020. Senior Management
Senior Management means all Executives with strategic responsibilities. In Vittoria Assicurazioni S.p.A. the roles of Managing Director, General Manager, Co-General Manager, Deputy General Manager and Central Manager are included in this category. Executives belonging to the Senior Management participate to the discussion of the fundamental choices of the company, that are subject to the Board of Directors, and ensures implementation of the guidelines and policies through the operational departments. Senior Management is vested with the broadest executive powers, consistent with the model of powers and delegations adopted. Senior Management performs the activities related to the development, management and control of the risk management system on a continuing basis. In addition, as part of their duties under the strategic and organisation guidelines, Senior Management ensures implementation and improvement of policies to assume, assess and manage risks as approved by the Board as well as implementing company processes formalised by organisation documents. Furthermore, it checks operational limits are respected as well as risk exposure and respect for tolerance levels. Senior Management ensures that information on the degree of efficiency and effectiveness of the risk management system is regularly disseminated to the Board and that information flows are maintained especially in the event of any significant problems. As at this Report, the Company’s Senior Management is as follows: - the Managing Director; - the Co-General Manager (Life, Commercial and Marketing); - the Deputy General Manager (Services and Real-Estate); - the Deputy General Manager (Non-Life); - the Central Manager (Administration, Finance, Planning and Control); - the Central Manager (Transports Underwriting and Motor); - the Central Manager (Claims); - the Central Manager (Commercial Department); - the Central Manager (IT Systems).
Fundamental Functions
The fundamental company functions, identified under Article 42 of Solvency II Directive, are Internal Audit, Compliance, Risk Management and the Actuarial Function. In order to ensure that the four control departments have autonomy and independence, the Heads are appointed by the Board of Directors after receiving a favourable opinion from the Control and Risk Committee and the opinion of the Board of Statutory Auditors. The fundamental functions do not depend on any operational structure, hierarchically depend on the Chief Executive Officer and respond to the Board of Directors. The Heads of the four departments shall have the necessary requirements of integrity and professionalism, which are identified and defined in the Policy for assessing appointment requirements approved by the Board. With the support of the Appointment and Remuneration Committee, the Board ensures the requirements are in place at the time of appointment and verifies them on a yearly basis.
23
The Risk Management, Actuarial and Compliance Departments report hierarchically to the Director in charge of the internal control and risk management system and report to the Board of Directors, also through the Control and Risk Committee, regarding any aspect related to the contents and to the organization of their activities. The Risk Management Policy and the specific policies on the control functions mentioned above define the relationships, collaboration and exchange of information between the functions. In particular, relations between the II and III level functions are structured on the following three levels:
a) level one entails periodic meetings; b) level two entails formal exchange of information; c) level three entails the participation of members of the control bodies.
The objectives and responsibilities of the fundamental functions are described in the following paragraphs.
B.1.2 Significant changes to the governance system introduced in the reference period The main changes in the governance system in the course of 2017 and up to the date of preparation of this Report are reported in chronological order: 01/01/2017 Constitution of Deputy General Manager and Services and Real Estate, under the
responsibility of Mr. Matteo Campaner, and the Deputy General Manager Non-Life under the responsibility of Mr. Paolo Novati.
15/03/2017 Appointment of Mr. Cesare Caldarelli (former Director and General Manager) to the position of Chief Executive Officer and the role of Director in charge of the internal control and risk management system, a role previously performed by the Vice Chairman Mr. Roberto Guarena.
As a result of the new organizational structure, the Board also approved the new system of delegations, authorizing the increase of the managing powers delegated to the Joint General Manager and the two Deputy General Managers, with the joint signature mechanism for the most important scope of the powers conferred on the CEO and to be exercised in cases of urgency and necessity. The vicarious powers attributed to the Vice President Mr. Roberto Guarena were simultaneously revoked.
31/03/2017 Termination of the position of General Manager of Mr. Cesare Caldarelli, who directs the Company in the role of Chief Executive Officer.
28/04/2017 Resignation of the Director Mr. Lodovico Passerin d'Entrèves. The Board resolved not to replace it by co-optation of a new director, having considered that the size and composition of the Board is in any case suitable for guaranteeing its correct functioning in compliance with the duties assigned by the Bylaws and by the relevant legislation.
On the same date, following the resignation of Mr. Passerin d'Entrèves and the imminent
submission to the management and coordination of Yafa S.p.A., the Board resolved the new composition of the Appointments and Remuneration Committee and the Control and Risk Committee, now composed internally of independent directors.
29/06/2017 Recognition by the Board of Directors of the subjection of the Company to the
management and coordination of Yafa SpA, following the registration of the latter as the new Parent Company of the Vittoria Assicurazioni Group.
The Board of Directors therefore approved the implementation of the Group Regulations
approved by Yafa SpA. for the purpose of regulating the areas of activity subject to the Parent Company's coordination.
26/07/2017 Resignation of Vice President Mr. Roberto Guarena as a member of the Board
Committees of which he was a part (Strategies, Finance and Real Estate).
24
14/11/2017 Separation of the responsibility of the Risk Management Function from that of the
Actuarial Function, previously both attributed to Mr. Massimo Marchegiani. The Board appointed Mrs. Cristina Mataloni as the new head of the Actuary Function.
15/03/2018 The Board of Directors resolved to integrate the tasks of the Strategies Committee, providing that it also carries out activities of supporting the Board with regard to issues concerning sustainability.
On the same date, the Board approved the following changes concerning the organization of control functions:
- in order to ensure that the complaints management process is guaranteed in ever greater compliance with the principles of autonomy, impartiality and timing, the new Compliance and Complaints business unit was established, reporting directly to the Managing Director, as Director in charge of the internal control system and risk management. The responsibility of the Compliance and Complaints was entrusted to Ms. Giuseppina Marchetti, who then held the role of Head of the Compliance Function;
- at the same time, the responsibilities of the Anti-Money Laundering Function were merged, along the responsibilities of the Legal Department, in the newly established Legal and Anti-Money Laundering business unit, whose responsibility is entrusted to Mr. Alberto Giani, reporting directly to the Managing Director.
B.1.3 Information on the remuneration policy and practices
Principles of the Remuneration Policy Vittoria Assicurazioni S.p.A. has always had a remuneration policy oriented to a sound and prudent risk management and in line with the strategic objectives of the Company’s ongoing balanced growth, profitability and prominent position in the domestic insurance.
The primary objective of the remuneration policy implemented by Vittoria Assicurazioni S.p.A. is to ensure an adequate remuneration to attract, motivate and retain resources with the professional qualities required to successfully pursue the Company’s or the Group’s goals, which mainly strive to achieve continual excellent results in the attainment of its corporate purpose, and as a result, to create value for shareholders and safeguard company assets over the long term.
The Company's remuneration policy does not provide for incentives aimed at risk-taking that could conflict with the above objectives.
For both senior positions and all staff, the determination of remuneration is based on responsibilities assigned to the individual concerned, the position held, the individual's skills and the reference market, in accordance with fairness principles.
Relevance of fixed and variable remuneration components Non-executive Directors
The Ordinary Shareholders’ Meeting sets the remuneration for each financial year, in order to remunerate the Directors for their participation in the Committees and for the specific tasks assigned within these Committees. As provided by Article 15 of the By-Laws, this amount does not include compensation for Directors with specific duties.
No incentive-based remuneration systems are contemplated for Non-executive Directors that do not hold corporate offices.
Control Bodies
25
The Ordinary Shareholders’ Meeting sets the gross annual compensation of the Board of Statutory Auditors and the members of the Company’s Supervisory Body established pursuant to the Legislative Decree no. 231/2011.
There is no provision for lump-sum reimbursements or attendance fees for attending Board and committee meetings.
No incentive-based remuneration systems are contemplated for members of the control bodies.
Managing Director, Senior Managers and other Managers
The Company considers it appropriate to determine management compensation in such a way as to ensure that the fixed component of compensation is, in all cases, sufficient to remunerate the service performed regardless of the achievement of objectives that entitle the individual to receive a variable remuneration portion as calculated below, ensuring a proper balance between the fixed and variable components.
The fixed remuneration is proportional to the role held and the responsibilities assigned, also considering the experience and skills required, as well as the quality of contribution in the attainment of business results.
The variable remuneration is tied to the achievement of business objectives with a direct link between incentives and objectives of the Company, the department and, not least, the individual objectives, in terms of quality and quantity.
The weighting of the variable remuneration component differs based on the possibility to directly affect the outcomes of the Company and the impact that the individual role has on the business.
The variable remuneration is made up of two parts::
- A short-term incentive (‘‘STI’’), acknowledged by a monetary bonus payout and subject to the achievement of qualitative and quantitative performance indicators contained in an individual scorecard, and
- A long-term incentive (‘‘LTI’’), acknowledged by the assignment of financial instruments, such as Performance Units, solely provided for the Managing Director, the General Manager, the Co-General Manager and the Deputy General Managers.
All incentive systems adopted by the Company provide for the achievement of a common formalized risk-adjusted objective of corporate performance (gate access to the variable remuneration system).
Non-management Personnel
In order to enable the non-management personnel to achieve the objectives of the Company, incentive systems have been structured so that resources may access a variable compensation.
All incentive systems adopted by the Company provide for the achievement of a common formalized risk-adjusted objective of corporate performance(gate access to the variable remuneration system), which is the same one used to determine the variable part of the remuneration of the Managing Director, the General Manager, the Senior Managers and other Managers.
26
Information on the individual and collective performance criteria on which any entitlement to share options, shares or variable components of remuneration is based There are no individual and collective performance criteria on which any entitlement to share options, shares or variable components in addition to those indicated under paragraphs: ‘‘Principles of the remuneration policy’’ and ‘‘Relevance of fixed and variable remuneration components’’.
Description of the main features of the supplementary pension or early retirement schemes for the members of the administrative, management or supervisory body and for holders of other key functions Members of the Senior Management and the Company’s Managers are recipients of a supplementary pension plan provided for by the National Regulatory and Financial Agreement for insurance companies executives, accounting for 13% of the contractual remuneration minimum, supplemented by a further 3%.
No supplementary pension schemes are provided for the members of the administrative, management and supervisory bodies.
No early retirement schemes are provided for the members of the administrative, management or supervisory bodies, as well as for holders of other key functions.
B.1.4 Information about material transactions performed during the reporting period with the shareholders, with persons who exercise a significant influence on the undertaking and with the members of the administrative, management or supervisory bodies. No material transactions were performed during the reporting period with the shareholders, with the persons who exercise a significant influence on the undertaking and with the members of the administrative, management or supervisory bodies. The Company has entered into agreements with the Parent Company Yafa S.p.A. related to: lease offices; provision of IT services; secondment of personnel. These contracts, of not significant amounts, were concluded at market conditions, subject to assessment and favorable opinion of the Related Parties Committee.
B.2 Fit and proper requirements The Board of Directors of Vittoria Assicurazioni S.p.A. has approved the Fit & Proper Policy to ensure that all persons who effectively run the undertaking or have other key functions have the professional qualifications, and proper knowledge and experiences for a sound and prudent management, as well as a good reputation and integrity. To this end, the Policy: - defines roles and responsibilities of parties involved in the process for the evaluation of the fit & proper
requirements; - identifies situations that entails forfeiture, suspension or any revocation of the office held inside the
Company; - provides for a periodic verification aimed at checking that the fit & proper requirements are maintained
over time; - identifies the events that require new assessments of the requirements of eligibility to the office held inside
the Company; - identifies the other relevant collaborators that are not subject to said requirements, but for which the
Company considers nonetheless to make some assessment in terms of professionalism and integrity, establishing the fit & proper requirements.
The Policy outlines the principles for the assessment of the fit & proper requirements of the following persons:
(i) Company bodies with administrative, management and control functions: - members of the Board of Directors; - members of the Board of the Statutory Auditors;
27
- the General Manager. (ii) Key functions included in the governance system, identified as Internal Audit Function, Compliance
Function, Risk Management Function, Actuarial Function; (iii) Relevant personnel identified by the Company:
- Members of the Top Management, further compared to the CEO; - Manager in charge of preparing the corporate accounting documents (hereinafter also
"Manager in charge"); - Head of the Anti-Money Laundering Function; - Additional personnel who carry out essential or important activities identified with a specific
resolution of the Board of Directors, also in compliance with current legislation and regulations; - Bodies with administration and control functions of subsidiaries; - Staff assigned to the Fundamental Functions.
These persons are required to have the fit & proper requirements in terms of integrity, professionalism and, where required by law, of independence.
Professionalism Without prejudice to the applicable legal and regulatory provisions, a person is considered to have adequate professionalism when his professional qualification, knowledge and experience are adequate to allow a correct and effective fulfillment of the duties deriving from his company position. This includes common behaviors and values as described in the Group Code of Ethics, as well as leadership experience and managerial skills, including significant technical skills for the specific company position. Administrative and control bodies
Criteria and procedures regulating the appointment of the members of administrative and control bodies of the Company shall be aimed at providing a structure that enables an adequate performance of the tasks conferred upon them by current regulations and By-Laws in the best interest of the Company, in order to create value for the shareholders in a medium-long term horizon.
Accordingly, the primary objective of the Board of Directors is to promote the candidacy and appointment of highly qualified individuals, based on their talents, experiences and skills, taking into account the Company targets, as well as the relevant regulatory and market evolution.
The persons in charge of the administration, management and control of the Company must possess the requisites prescribed by primary, secondary and pro tempore legislation in force as well as those provided for by self-regulation. In particular, the Company is subject to:
- the provisions of the sector governing the requirements of professionalism, integrity and independence for persons who perform administrative, management and control functions in insurance companies, provisions that also dictate the impediments to the intake of such offices and the causes suspension and forfeiture;
- the primary legislation applicable to issuers of financial instruments. -
Furthermore, Vittoria Assicurazioni S.p.A., which since November 2001 is part of the STAR Segment of the Electronic Stock Market managed by Borsa Italiana, has adopted the self-regulation required by the Corporate Governance Code approved by the Corporate Governance Committee promoted by Borsa Italiana. The Company also applies the principles and application criteria of the Corporate Governance Code, as adopted by the Company, in relation to the composition and characteristics of the Board of Directors, which establish the criteria for identifying Directors with the appropriate characteristics to be appointed within some of the endoconsiliary committees (Control and Risk Committee and Appointments and Remuneration Committee). In order to ensure an adequate composition of the Board of Directors with respect to the requirements of the sector legislation, the members of the Company Council must be identified:
(iv) taking into account the need to guarantee the presence of subjects: ‐ endowed with professional skills appropriate to the role they are called to play; ‐ with skills, at the same time, widespread but also appropriately diversified;
28
‐ who can devote adequate time and resources to the assignment;
(v) ensuring the best efficiency and effectiveness of the Board of Directors through: ‐ a dimension related to the articulation and complexity of the Company in its economic-patrimonial,
organizational and operational components; ‐ the identification of subjects with appropriate and diversified theoretical / professional / managerial
skills and experiences in relation to the operational and dimensional characteristics of the activities to be carried out, as well as the risks to be assumed and able to express full autonomy and independence of judgment;
‐ the presence of an adequate number of independent Directors, paying particular attention to the combined provisions of art. 2.2.3 of the Stock Exchange Regulations and of the art. IA.2.10.6 which requires that at least 4 directors must meet the independence requirements set out in the application criterion 3.C.1 of the Corporate Governance Code. The number and responsibilities of independent Directors must be such as to enable the creation of board committees according to the indications contained in the Corporate Governance Code;
‐ the evaluation and weighting of the commitments caused by other activities and other external tasks, so that the administrators actually have sufficient time to carry out the task with awareness and depth. For this purpose, account is also taken of the orientation expressed by the Board of Directors in compliance with the application criterion 1.C.3 of the Corporate Governance Code, with regard to the maximum number of offices as director or statutory auditor that can be considered compatible with an effective performance of the office of Director of the Company.
In order to ensure that the company is managed and monitored professionally and ensure appropriate diversification of qualifications, knowledge and experience, with reference to the professionalism of the members of the Board of Directors, it is estimated that the Board of Directors is guaranteed the presence of subjects who, collegially, have adequate qualifications, experience and knowledge at least in the field of:
a. insurance and financial markets, in terms of understanding and awareness of the economic and market context in which the Company operates;
b. business strategy and business model, in terms of understanding the Company's strategy and business model;
c. governance systems, in terms of understanding and awareness of the risks to which the Company is exposed and the ability to manage them. This capacity also includes the ability to assess the effectiveness of the system of governance, supervision and control of the business;
d. actuarial and financial analysis, in terms of the ability to interpret the Company's actuarial and financial information, identify key issues, implement appropriate controls and adopt the necessary measures based on this information;
e. regulatory and self-regulatory context, in terms of understanding and awareness of the regulatory environment in which the Company operates, both from the point of view of regulatory requirements, and the ability to promptly adapt to regulatory updates
Furthermore, a good degree of heterogeneity of experiences must be ensured in the composition of the administrative and control bodies, in order to foster a balanced debate which, in turn, can strengthen the decision-making process thanks to the differences in perspective of its members. In particular, the optimal composition of the Board of Directors envisages the coexistence, on the one hand, of subjects who have a thorough knowledge of the Company, the Group and the context in which they operate, as well as insurance techniques and sector regulations, from other, subjects of different training and experience in other areas and sectors, so as to achieve the right balance in the debate, in the decisions and in the definition of the strategic lines of development.
29
It should also be ensured that the Board has an adequate balance between the various categories of directors and that non-executive directors represent a large majority compared to the executives, as well as an adequate number of independent directors, also to ensure the formation of the Board of Directors committees recommended by the Corporate Governance Code adopted by the Company. In choosing the members of the Board of Statutory Auditors, given the mandatory provisions of law governing their duties and requirements, the heterogeneity and diversification of skills have a more marginal value. On the basis of the aforementioned criteria, the Board of Directors ensures that, as far as it is responsible for, the procedures for appointing members of the administrative and control bodies make it possible to identify the most suitable candidates based on the requirements of the bodies themselves and diversity of experience, knowledge and skills without any type of discrimination based on belonging to a gender, age, race, religion or any other personal characteristic that does not comply with the role that candidates are called to perform. Owners of Fundamental Functions
Holders of Fundamental Functions must have sufficiently extensive knowledge and experience and a sufficiently high level of competence to be able to take charge and ensure their effectiveness. Each holder of Fundamental Function must possess the professionalism required for the achievement of the objectives assigned within the respective Function and, where issued, by the applicable legislation.
Owner of Risk Management function
The Company's Risk Management Officer must have the qualification, experience and knowledge necessary to monitor and manage the Company's risk profile. It must know the calculation of the solvency of the Company and the contribution of the Company to the solvency of the Vittoria Assicurazioni Insurance Group and be able to verify the Company's overall solvency position and compliance with the solvency supervision provisions.
Owner of the Compliance function
The Compliance Officer must possess the qualification, experience and knowledge necessary to manage the Company's compliance risk, monitor the Company's compliance with applicable regulations, internal compliance principles and procedures, and express opinions on the compliance of the Company and its subsidiaries to relevant regulations, including compliance with the laws, regulations and administrative provisions issued under the Solvency II legislation and assessing the impact of changes to applicable laws and regulations.
Owner of the Internal Audit function
The owner of the Internal Audit function must possess the qualification, the experience and the knowledge necessary to evaluate the adequacy and effectiveness of the Company's governance system, issue recommendations, in particular regarding any shortcomings in the control system, as well as verifying compliance with the decisions taken against such shortcomings.
Owner of the Actuarial function The owner of the Actuarial function of the Company must possess the qualification, experience and knowledge necessary to coordinate and validate the calculation of the Company's Solvency II technical reserves, valued at market value, as well as give recommendations and opinions on the management of insurance risks and on the impact of the latter on the solvency position of the Company. Key personnel With regard to the professionalism of the additional key personnel identified by the Company, the qualifications, knowledge and experience required depend on the position held. Members of the Top Management: they are required to have at least three years of managerial experience within a company operating in the insurance or financial sector or who have held similar positions of responsibility in companies of a complexity comparable to that of Vittoria Assicurazioni.
30
Manager in charge of preparing the corporate financial documents: the Manager in charge is required to possess professional qualifications characterized by specific expertise in administrative and accounting matters acquired through work experience in positions of adequate responsibility for a reasonable period of time. It must also possess the qualification, experience and knowledge necessary to provide reliable financial information to the Board of Directors, the Supervisory Authorities and the public through the preparation of quarterly and annual closing reports, plans and related updates as well as Solvency II reporting. Responsible for the Anti-Money Laundering Function: the person in charge of the Anti-Money Laundering function must possess the qualification, experience and knowledge necessary for the prevention of the risk of money laundering and terrorist financing, in compliance with the pro-tempore legislation in force. For additional personnel carrying out essential or important activities identified by a specific Board resolution, it must be assessed that the qualifications, knowledge and experience are suitable for the assumption of responsibilities deriving from the role to be filled. Directors of subsidiaries: professionalism must be assessed with reference to the activity carried out by the subsidiary where the person is called to take up the position. It is required knowledge and theoretical / professional / managerial experience in the specific sector of activity or in the administrative or management field. Personnel of the Fundamental Functions: those who perform activities in the Fundamental Functions must possess adequate skills and professionalism to carry out activities in support of the activity performed by the function. The necessary professional experience can be acquired, among other things, in operative positions, in other Fundamental Functions or in regulatory and / or legal functions and through participation in training activities. Honorability The assessment of the honorability consists in the verification of the absence of circumstances which, if present, exclude the requirement of honorability or, depending on the case, constitute clues that call into question the integrity of a person. Notwithstanding that the existence of one of the circumstances provided for by art. 5 of the Ministerial Decree of 11 November 2011 n. 220 excludes the requirement of honorableness for the members of the Board of Directors and the Board of Statutory Auditors, the General Managers and the Financial Reporting Manager, the following indications are taken into consideration by the Company for the purposes of assessing good repute but do not imply, in itself, the defect of the requirement:
‐ previous convictions, or current criminal proceedings, that could lead to a conviction for a crime other than those expressly provided for by the applicable legislation in force;
‐ administrative penalties received in the last 5 years for non-compliance with the legislation on financial and insurance services, or submission in the last 5 years to administrative sanctioning procedures for alleged violation of the legislation on financial and insurance services or proceedings and / or disciplinary sanctions by a professional order;
‐ any further circumstance that may determine the risk of a financial crime or which could endanger the sound and prudent management of the Company.
Evaluation of the eligibility requirements for the office The professionalism and honorability of a person is assessed individually at the time of appointment, whether it is an external person, whether it is a person already part of the company organization, as well as on an ongoing basis in the context of periodic reviews annual. The evaluation is also carried out in the presence of situations that require re-evaluation of fit and proper requirements.. Bodies responsible for the evaluation
The responsibility for the evaluation falls on the following company bodies / subjects: (i) Board of Directors, after consulting and proposing by the Appointments and Remuneration
Committee: assessment of the eligibility requirements for the members of the Board of Directors, the Board of Statutory Auditors, the General Manager, the Key Managers of the Fundamental
31
Functions, the Manager in Charge as well as other figures whose appointment is reserved to the Board on the basis of current regulations, including regulations;
(ii) Appointments and Remuneration Committee: assessment of the eligibility requirements for the members of the Top Management and the Directors of the subsidiaries;
(iii) Hierarchically Responsible and HR Management: assessment of the eligibility requirements for additional personnel carrying out essential or important activities identified by a specific Board resolution and whose appointment or appointment is not within the competence of the Board itself, as well as for the personnel assigned to the Fundamental Functions;
(iv) Internal responsible for the control of the essential or important externalized function: evaluation of the requirements with reference to the outsourcer.
The results of the evaluations are also submitted to the Internal Control Committee and / or the Board of Statutory Auditors whenever these bodies, in accordance with current regulations, must express their views on the appointment of corporate officers (eg in the case of appointment of Fundamental Functions).
B.3 Risk management system, including the own risk and solvency assessment (ORSA) The corporate governance system rules the way in which the Company is governed and controlled. The basic elements of the corporate governance system are the risk management system and the internal control system. The Company has appropriately adopted, and continuously maintains, these systems so that it guarantees the fulfillment of the commitments towards its insured and beneficiaries, as well as their counterparts, and achieves the safeguarding of the assets in the pursuit of long-term strategic objectives and in compliance with regulatory and regulatory requirements from time to time in force. This report is ruled by the current prudential regime (i.e. Solvency II), which was established to create a level playing field through consistent regulation for all insurers and reinsurers in the European Union. It provides regulators with a mechanism to assess whether insurance companies and groups have an adequate level of capital to support their operations. The main purpose is to prevent crises and give full protection to policyholders and policyholders, leading to a safer insurance market. The increased transparency and soundness of financial institutions (such as banks and insurers) aims to contribute to overall financial stability and to the minimization of systemic risks.
32
B.3.1 Desc
The Board othe internal
Within theseorganization
The risk ma
‐ basof SBus
‐ madresoman, ris
Therefore, w‐ the
Audinfothat
cription of th
of Directors control syste
e systems, tnal model ba
anagement ssed on the joStatutory Ausiness and Sde up of thources (humnagement st
sk preferencewith referenc
Board of Dditors, each ormation on tt the risks to
he risk mana
has defined em, regulatin
the corporatased on thre
ystem at a goint activity ouditors, Risk Service Functhe set of prman, technoltrategy defines and objecce to the risk Directors, wi
for the cothe governao which the
agement sys
the principleng its purpos
te bodies ane lines of de
glance is: of the followi
Managemetions (so-calrinciples, gulogical and
ned by the Cctives. managementh the supp
ompetences nce system"Company is
stem
es and charases, structure
nd companyefense.
ing main plaent Function,led Risk Ow
uidelines anorganization
Company's B
nt system: port of the B
and respon", ensure its s or could be
acteristics ofe, roles and
functions o
ayers: Board, Actuarial Fner); d lines of cnal) and of oard of Dire
Board Commnsibilities readequacy ae exposed a
the risk manresponsibilit
perate acco
of DirectorsFunction, Co
conduct, rulthe instrumectors, which
mittees, and eferred to inand effectiveare identified
nagement syties.
ording to the
s, its Commiompliance F
es and proents support includes the
the Board n chapter "Be functioningd, adequatel
ystem and of
e well-known
ttees, Boardunction and
ocesses andting the riske propensity
of StatutoryB.1 Generaland ensure
y managed,
f
n
d d
d k y
y l
e ,
33
monitored and communicated, also through synthetic indexes such as, for example, those that measure the level of risk / performance;
‐ the business functions of the company and service (first line of defense) integrate the execution of the control mechanisms in daily operations, notifying the fundamental functions of any circumstances or the occurrence of events that can be critical;
‐ the fundamental functions (second line of defense) guide and support company functions, monitor risks and promote the development and maintenance of a system that allows an adequate understanding of the nature and significance of risks and allows a holistic approach to the management of risks, as an integral part of business management.
The Board of Directors ensures that all company levels are aware of and strictly adopt the directives envisaged by the risk management system. To this end, it ensures the widespread dissemination of the Guidelines issued by the same Board and the implementation and maintenance of a suitable system of organizational and operational rules. It also ensures that the risk appetite document (ie Risk Appetite Statement: which governs risk preferences and the level of risk that the Company is willing to assume for the pursuit of its strategic objectives) and the report on internal risk assessment and solvency are brought to the knowledge of the staff at the appropriate hierarchical and decision-making levels. The aforementioned policies issued by the Board include all relevant aspects of business and corporate risk. Each of them describes the objective, principles, guidelines, scope of application, macro process or implementation methods, roles and responsibilities of the bodies and functions involved and methods of coordination between the parties involved, including information flows. These flows envisage the top-down approach with regards to communications from the Board of Directors, bottom-up with regard to information to the Board of Directors and transversal between the various corporate functions.
These policies govern the approach and detailed methodologies for the management of:
‐ specific risk categories (eg market risks associated with investments); ‐ risks within specific processes (eg recruitment risks); ‐ risk mitigation techniques (eg reinsurance); ‐ measurement methods for the individual risk factors, their correlations and the underlying principles
(eg risk and solvency assessment); ‐ monitoring and analysis methodologies (eg risk / performance indicators, stress tests, scenario
analysis).
The risk management process adopted by the Company, which reflects the relevant market standards, consists of the phases of (i) identification of risks, (ii) assessment of risk exposure, (iii) monitoring and control, (iv ) risk management and (v) management of information.
As aforesaid, every corporate function is called to notify any circumstances or the occurrence of events that may be critical (eg risks at an individual level). The fundamental functions (Risk Management, Actuarial and Compliance) conduct or supervise, each for the area of specific competence, the most comprehensive process which leads the Risk Management function to an aggregate risk management and to the determination of the Capital of Solvency, that is, the amount of own resources that the Company must hold, for regulatory purposes and capital solidity, for the risks deriving from the exercise of its activities.
An integral part of the risk management system adopted by the Company is the system of risk objectives, implemented in close connection with the Mission, the multi-year strategic plan, the Business Plan, the prospective risk profile, the asset and financial management and the model business and organizational organization. Risk appetite is embedded in a structured way in company processes as a necessary component for strategic risk management.
34
As part of the risk appetite document referred to above, quantitative risk objectives and synthetic ratios are formalized to measure the level of its achievement. The risk appetite also defines qualitative and monitoring objectives with particular reference to the types of risk, which due to their nature and characteristics are difficult to quantify and are not covered by the capital requirements required by the regulations: risk of non-compliance with the regulations, and related reputational risk, risk of fraud and risk of operational discontinuity.
In particular, the synthetic ratios adopted refer to risk measures, yield measures and risk drivers. For them are set target values (target) or ranges of desired values (range), tolerance ranges and maximum limits. As part of the monitoring phases, the occurrence of any undesired values is managed through the process of defining recovery actions which envisages a process of differentiated escalation according to the severity of the violation.
In this sense too, the risk management system directs planning and strategic choices, supports decision-making processes and guides organizational and operational aspects, representing, in other words, the connecting element between the governing, direction and control bodies, and operational units.
Indeed:
the owners of the fundamental functions participate in the meetings of the Control and Risk Committee and, each according to their respective competence, to other Committees and to the Supervisory Body;
those who perform fundamental functions are involved in the business processes in order to perform evaluations and provide opinions such as, for example: o the assessment of the Risk Management function with reference to the asset allocation, to the
acquisition of equity investments and to the design of new products, also in terms of solvency requirements;
o the opinion of the Actuarial Function on the Company's underwriting policy and on reinsurance agreements and the assessments carried out with reference to the Data Quality system;
o the evaluations carried out and the support provided by the Compliance function with particular reference to compliance with the primary and secondary rules directly applicable to the Company.
B.3.2 Internal assessment of risks and solvency
By issuing the relevant Policy, the Board of Directors has defined the methodological principles, the guidelines and the macro-processes aimed at evaluating the overall solvency needs and the ability of the Company to satisfy, in the continuous and considering the strategic planning of medium and long-term, mandatory capital requirements and requirements for technical provisions. In defining the principles and responsibilities, the Policy aims to establish a risk management that allows to preserve the stability and solvency, even in extreme conditions ("stress"). The methodology adopted refers to: ‐ the current and future assessment of risks and solvency, with reference to:
o the quantitative assessment with Solvency II Standard Formula metrics (for insurance, market, credit and operational risks);
o using stress tests and scenario analysis; o the qualitative analysis used, for example, in the assessment of the risks of non-compliance with
the rules (and of the potential related reputational risk) and of the liquidity risk; o the risk monitoring processes, also by verifying the risk and performance indicators adopted, as
well as the solvency indicator; ‐ the continuous assessment of compliance with capital requirements and those relating to technical
reserves (the so-called second assessment of the ORSA); ‐ the analysis of deviations from the assumptions underlying the calculation of the Standard Formula (c.d.
third assessment ORSA).
35
The internal assessment of risks and solvency, carried out and documented by the Risk Management function, supports the identification and classification of risks to which the Company is exposed, also in potential terms, and provides the Board of Directors with the elements aimed at determining which are the significant risks, ie those whose consequences can undermine the solvency of the company or represent a serious obstacle to the achievement of medium / long-term objectives. The complete assessment, carried out on an annual basis, is assessed and commented on by the Board of Directors and transmitted to the Supervisory Authority. The assessment is repeated when there are significant changes concerning, for example, the macroeconomic scenario or the market sectors in which the Company carries out its business or makes investments or when substantial changes in the portfolio occur. Assessments are also carried out on a quarterly basis, mainly referring to the continuous verification of capital requirements and those relating to technical reserves, following which, to the possible occurrence of significant deviations and, in any case, to the emergence of critical elements. a specific information escalation is envisaged in relation to the Top Management and the Board of Directors. Internal assessment of risks and solvency, in particular:
‐ determines the plausibility of strategic planning that covers a period of three years; ‐ is the basis of asset planning also for solvency purposes; ‐ supports the monitoring of risk appetite indicators.
B.4 Internal control system Overview of the internal control system The internal control system is made up of the set of rules, procedures and organizational structures aimed at ensuring the proper running and sound administration of the undertaking and guaranteeing, with a reasonable safety margin: ‐ efficiency and effectiveness of the company processes; ‐ adequate control of current and forward-looking risks; ‐ timeliness of the system of reporting company information; ‐ accountability and integrity of the accounting and management information; ‐ safeguard of the assets also in a medium-long perspective; ‐ compliance of the undertaking’s business with current regulations, directives and company
procedures.
The structure of the Internal Control System of the Company complies with the fundamental principles established by the Insurance Regulator and is also based on the principle of proportionality that IVASS Regulation no. 20/2008, as amended by the provision no. 17/2014, applies the concept of adequacy to the nature, extent and complexity of the undertaking’s activity and objectives of development that it intends to pursue. Following elements of the internal control system are included in this concept of structure: ‐ an extensive system of guidance policies issued by the Board of Directors, that:
(i) identify the guidelines for the pursuit of corporate strategies in compliance with the legislation in force;
(ii) are periodically reviewed to guarantee compliance with regulatory, organizational or business changes;
(iii) are subject to specific information flows that guarantee the constant monitoring of their implementation.
- an organized system, consistent with the company strategy and policies, that is formalized: (i) in the drawing up of the Company’s organizational chart and functions chart, periodically
updated, that outline tasks assigned to each business unit with indication of their related heads; (ii) in the model of delegations.
‐ Assignment of an extensive network of functions responsible for: (i) Identifying risks connected to their activity;
36
(ii) Evaluating the related impact; (iii) Monitoring their trend on a continuous basis; (iv) Ensuring a proper level of reporting to the relevant functions; (v) Undertaking, where necessary, the adequate treatment measures.
‐ The existence of second level control functions (Risk Management, Compliance, Actuarial Function, Anti-Money Laundering) overseeing the process of identification, assessment and mitigation of risks while ensuring consistency with company targets and meeting the independence criteria. While this structure has the objective to give a proper response to requirements under the sector regulations, it is designed taking into account the principles of proportionality and functionality of the corporate environment of Vittoria Assicurazioni S.p.A.;
‐ The existence of a third level function (Internal Audit) which provides independent assessment on the design and functioning of the internal control system and risk management system, by giving assurance to the Board of Directors and Senior Management in relation to effectiveness of the organization’s assessment and management of its risks, including the procedure by which the first and second line of defense operate;
‐ a system of corporate provisions, as the set of macro-processes, processes, procedures, organizational arrangements and circulars, aimed at ensuring the achievement of the company targets with a reasonable safety margin, including a constant monitoring and adjustment of these rules. These provisions represent the instrument through which company processes are set forth, roles, responsibilities, operating and control procedures are identified. The main feature of these instruments is to provide for levels of segregation of duties and responsibilities among different organizational units or inside them. Provisions are formalized and made available to all the Company’s staff on the intranet network by the ‘‘Knowledge Management’’ software;
‐ a constant training activity of all employees, by those who operate in the most operating structures up to the Directors, focused not only on the technical/insurance issues, but also on the principles that guide the company actions, also defined by the Code of Ethics, as well as on the primary and secondary regulations, which need constant updating and continuous training.
Compliance Function The Board of Directors of the Company has established the Compliance Function as integral part of the system of internal control and risk management, whereby it performs second level controls. Objectives and responsibilities The Company ensures consistency between the level of risk taken and its risk appetite. To this end, the Compliance Function is assigned the following general objectives:
‐ ensuring an efficient and effective management of non-compliance risk; ‐ ensuring that corporate activities comply with rules, including self-regulatory rules; ‐ creating corporate value, protecting losses and enhancing corporate reputation.
According to tasks assigned by the primary regulation (see Article 30-quater of the Code of Private Insurance Companies) and in compliance with Article 23 paragraph 3 of ISVAP Regulation no. 20, within the risk management system and the internal control system, the Compliance function is responsible for:
‐ identifying, on an ongoing basis, the laws and regulations that are applicable to the Company, assessing their impact and preparing, to this end, periodic reports for the Senior Management and functions involved;
‐ providing advice to the Board of Directors in relation to compliance with primary and secondary rules directly applicable to the Company;
‐ identifying the potential sources and making qualitative and quantitative evaluations relating to the risk of non-compliance with laws;
37
‐ assessing ex ante the adequacy and effectiveness of organizational measures, operating processes and company procedures that the functions want to adopt in order to ensure adequate control activities and a proper management of the risk of non-compliance with laws;
‐ proposing the organizational and procedural changes aimed at ensuring an adequate control of the risk of non-compliance with laws and assessing the organizational adjustments as a result of the suggested changes;
‐ conveying and spreading the culture of corporate reputation throughout the organisation, also through training on compliance and on the internal control system, in order to ensure employees of all levels are adequately informed on the risk of non-compliance;
‐ providing adequate information flows to corporate bodies and other departments involved; ‐ proposing and supporting the update the Solvency II policies within its purview and checking, for
all Solvency II policies, compliance with regulations applicable to the company. Moreover, within the outsourcing processes, the Compliance Function was assigned following tasks by the Board of Directors:
- checking the characteristics of outsourced activities and the nature of essential and important activities whenever there is an outsourcing project;
- always keeping the outsourcing register up-to-date, for each of which there is a company contact; - ensuring that IVASS is provided with the information set forth in ISVAP Regulation no. 20.
Finally, the Head of Compliance, being also in charge of Anti-Money Laundering and of the reporting of suspicious transactions (responsibility formally assigned by the Board of Directors), through the support of the business unit Compliance and Anti-Money Laundering, governs the dedicated process to prevent and fight money-laundering transactions and terrorism financing activities, and sets up a powerful safeguard within its department that is tasked and resourced both to plan and develop responses to systemic changes and to deal with the telematic management. Implementation The control activities performed by the Compliance Function, within the internal control system and the risk management system, with respect to the control of the risk of non-compliance with laws are drafted in an annual plan and are consistent with provisions under the Risk Management Policy. The plan of activities, where actions to be performed by the Function in relation to the Company are outlined, is approved by the Board of Directors, through the Risk and Control Committee. The activities scheduled are carried out in accordance with above plan and can be changed and supplemented with any unscheduled interventions made necessary due to new needs (at the discretion of the Head of Compliance), giving the Board of Directors due justification, also through the Risk and Control Committee. In planning its activities, the Compliance Function takes into account:
‐ the evidence and any shortcomings found during previous risk assessments; ‐ occurred or expected changes in regulatory provisions; ‐ changes occurred in the Company activities; ‐ any new risks found; ‐ the adoption of rules and regulations by other functions or organizational units; ‐ needs of organizational development of the function.
The operability of the Compliance Function is divided into these macro-phases:
‐ Recognition of rules and regulations: aimed at identifying and analyzing the relevant internal and external regulations, including the case law, in relation to the features of the Company’s operation and the scope of responsibilities of the Function, also with a forward-looking approach to the expected regulatory changes;
38
‐ Risk assessment: performed starting with the annual Risk Assessment Plan, used to defined the scope and ways of controls, in order to operationally assess the potential exposure to the risks of non-compliance, analyze the existing control tools, measure any gaps and evaluate the residual risk;
‐ Implementation of corrective action: aimed at identifying the organizational and procedural action (measures, procedures and controls) and the mitigation actions that may be necessary to ensure that the level of exposure to risk of non-compliance is in line with the risk appetite defined by the Board of Directors. Actions identified are formalized in a plan (so-called Action Plan) with indication of the detailed implementation process (methods, timing, departments involved, roles and responsibilities);
‐ Monitoring and reporting: - Continuing evaluation of the good performance of the Compliance controls, aimed at promptly
identifying risks of non-compliance and quantify the significance and sustainability; - Follow up of the effective and efficient transposition of the organizational and procedural
corrective measures, whose adoption was proposed inside the Action Plan; - Identification of information and training needs on compliance and/or on specific regulations,
and reporting to management bodies and company departments involved. In view of the complex and ever-changing regulatory framework and the company organizational structure, the Compliance Function defined a control model for the risks of non-compliance which enhances the specific competences inside the Company. Monitoring mechanisms relating to the operational management of the non-compliance risk are, therefore, carried out first by each relevant function, according to their responsibility in managing company processes, as the first line controls are performed by the same operational departments. During their day-to-day operation, the operational departments are required to identify, measure / assess, monitor, mitigate and report risks arising from the ordinary company activity in compliance with the risk management process. In particular, without prejudice to the ultimate responsibility of the Compliance Function, following monitoring is identified:
- Direct Monitoring: the Compliance Function directly monitors the degree of compliance of the Company with the relevant rules and regulations with particular focus on the standards on transparency and fairness of behaviors towards insured and injured parties, on pre-contractual and contractual disclosures, the proper fulfilment of contracts, with particular reference to the management of claims and, more generally, to the consumer protection;
- Indirect Monitoring: with reference to other regulations for which specific measures are already in force, the Company provides that specific organizational units are involved and the tasks of Compliance Function are graded. In cooperation with the specific functions in charge of monitoring, the Compliance Function is responsible at least for the definition of assessment methods for the non-compliance risk and for the identification of related procedures.
In addition to above activities, the Compliance Function can provide support and guidance to the management bodies and organizational departments on all issues where the non-compliance risk is relevant, by carrying out actions, in coordination with the other company functions involved, to amend and implement new organizational strategies and operational conduct. In particular, the Function can provide its advice, if requested:
- In the phase of analysis, upon launching of new relevant activities or projects (ex-ante support) - In the specific areas of competence of the Function; - Supporting other Control Functions, in the revision of processes and procedures performed
following checks or specific reporting; - On the occasion of analysis of new regulations impacting the company business operation.
39
The Function may sometimes promote and coordinate workgroups with all Functions involved by the new regulations so that the procedures and measures, needed to implement the rules, are designed in compliance with the law and in a manner to prevent non-compliance risks. The Head of Compliance is responsible for drafting and submitting the following reports to the Board of Directors:
- on an annual basis, the report on the adequacy and effectiveness of measures adopted by the Company to manage the non-compliance risk, on the activities performed, checks carried out, results and criticalities found, while reporting on the state of implementation of improvement measures, where made;
- on a half-year basis, the periodic report on the activities performed and the main outcomes of the checks carried out on the compliance of company processes with rules and regulations.
B.5 Internal Audit Function The Board of Directors of the Company has established the Internal Audit Function as integral part of the system of internal control and risk management, whereby it performs third-level controls. Objectives and responsibilities Main objectives of the Internal Audit Function are:
- monitoring and assessing the functioning, efficiency and effectiveness of the system of internal control and risk management, as well as the other elements of the governance system;
- identifies the areas of improvement of the internal control system, also through activities of support and advice to the company functions.
In compliance with Article 47 of the Solvency II Directive, the Internal Audit Function is responsible for: a) establishing, applying and maintaining an audit plan indicating the audit procedures to be carried out
in the Company in order to check operation and suitability of the internal control and risk management system;
b) preparing regular reports for the Board of Directors based on the outcome of work performed within the audit plan, including any findings and recommendations needed to solve the discrepancies. These reports include also an assessment on the suitability of the system of the internal control and risk management;
c) promptly drafting reports on particularly relevant events; d) checking compliance with resolutions adopted by the Board of Directors and based on the
recommendations included in the report under letter b; e) establishing a program of quality assurance and improvement by which its audit activities can be
assessed and professional growth is promoted, by notifying the Board of Directors of elements that enable to evaluate future performance;
f) ensuring, in coordination with the other control functions, an adequate approach of management of risks and controls and a systematic evaluation process of the internal control system. This task shall not impair the independence of the Function.
Implementation
In carrying out the assigned tasks:
‐ the Internal Audit Function has the power to freely access, without restrictions, all company departments, relevant documentation, information systems, records relating to the examined area, the properties and personnel of the Company including useful information for the verification of the
40
adequacy of controls performed on outsourced company functions. The same is guaranteed full cooperation by the persons in charge of the various organizational units;
‐ the Function is assured by the Board of Directors to maintain an adequate structure in terms of human and technological resources. In particular:
a) the persons in charge must possess and maintain adequate competence and professionalism with respect to the different needs deriving from the activities set out in the plan of the Function approved by the Board of Directors;
b) the staff in charge applies and promotes the Code of Ethics of the profession and respects the principles of integrity, objectivity, confidentiality and competence;
c) where the Internal Audit Function does not have adequate resources, in qualitative or quantitative terms, to carry out the activities set out in the plan approved by the Board, the manager in charge can use qualified external resources to the extent envisaged by the budget resources approved by the Board of Directors or requesting approval of the same, also through the Control and Risk Committee, where the budget is not sufficient.
The Internal Audit Function defines and formalizes the planning of its activities through a three-year plan both for the Company and for its subsidiaries. This plan is subject to the prior assessment of the Control and Risk Committee, and subsequently presented, for its approval, to the Board of Directors. The Plan is defined through a risk assessment methodology that takes into consideration emerging trends and risks, significant organizational changes and the main services, processes, operations, the results of the activities carried out in recent dates and the areas of attention on risks or controls. The Plan:
‐ describes the criteria used to select the activities audited; ‐ identifies the companies subject to audit, the areas subject to intervention, the resources used and
the budget for the period available to the Function; ‐ provides a congruous number of days for audits that can be carried out on urgent management
request and / or when reasons of immediate interest emerge; ‐ takes into consideration the need to rotate the positions of the personnel of the Function in order to
ensure their objectivity, taking into account the availability of the resources and the skills of the same.
The Internal Audit Function undertakes specific actions for the Supervisory Body established pursuant to the Legislative Decree no. 231/2001. These actions, subject to approval by the Supervisory Body, are included in the Audit Plan and notified to the Board of Directors. The Audit Plan, approved by the Board of Directors, is notified to the Senior Management, to the Board of Statutory Auditors and to the Supervisory Body. Planned activities are performed in accordance with above plan and may be changed and supplemented by measures required for new needs (at the discretion of the Head of the Function). The plan is then updated by giving the Board of Directors due justification, also through the Risk and Control Committee. Changes to the Audit Plan, approved by the Board of Directors, are notified to the Senior Management, to the Board of Statutory Auditors and to the Supervisory Body. The Internal Audit Function performs the activity of assurance and advice support. The activity of assurance is aimed at assessing whether the processes of risk identification, assessment, management and control and the Company’s governance, as designed and implemented by the Management, are adequate and work properly. In the performance of this task, the Function also evaluates the activities of Compliance, Risk Management, Actuarial Function and Anti-Money Laundering. In particular, the assurance action, as provided for by Article 15(3) of ISVAP Regulation no. 20, includes at least the verification of:
41
‐ the management processes and organizational procedures; ‐ the regularity and functionality of the information flows among company sectors; ‐ the adequacy of the information systems and their reliability so that information quality on which the
senior management relies its decisions is not impaired; ‐ the adherence of the accounting administrative processes to correct and regular accounting
procedures; ‐ the efficiency of the controls performed on the outsourced activities.
In the context of specific activities not included in assurance, but which are of particular importance in terms of risk management and internal control systems, the Internal Audit Department provides consulting services and participates in specific corporate projects that may require formulating an opinion, providing assistance and carrying out special tasks. The Internal Audit Function, in carrying out the actions for which it is responsible, adopts operating procedures in line with the main international standards issued by the Institute of Internal Auditors (IIA). The Internal Audit Function provides information within the periodic reporting to the Board of Directors of the state of implementation of the corrective action plan prepared by the functions involved. The Internal Audit Function is responsible for informing the Board, through the Control and Risk Committee, in relation to the activities carried out and any significant critical issues identified. In carrying out its duties, therefore, it directly guarantees the implementation of the reporting process to the Control and Risk Committee, the Top Management and IVASS. The Chairman of the Control and Risk Committee guarantees the implementation of the reporting process to the Board. The Head of the Internal Audit Function presents, at least once a year, the summary report on the audit activity to the Director in charge of the internal control and risk management system, to the Board of Directors, also through the Committee Control and Risks, and to the Board of Statutory Auditors.
Independence of the function In order to guarantee the independence of the Internal Audit Function, the Manager of the same:
‐ is appointed and revoked by the Board of Directors, having heard the opinion of the Control and Risk Committee and the Board of Statutory Auditors;
‐ depends hierarchically on the Control and Risk Committee and functionally by the Director in charge of the internal control and risk management system;
‐ is the addressee of objectives and an assessment of the performance, having heard the opinion of the Control and Risk Committee;
‐ has a remuneration, as well as the other components of the Function, determined on the basis of specific objectives consistent with the tasks assigned, independent of the results achieved by the operating units subject to their control and linked to the achievement of objectives related to effectiveness and quality control action, provided they are not a source of conflict of interest.
In order to guarantee objectivity in carrying out the activities, the Function is free from influences that may prejudice its judgment as:
‐ has no direct responsibility and authority over the areas under review; ‐ is not involved in operational activities that may be reviewed; ‐ carries out audit activities on an independent initiative and is free to allocate available resources
and apply more suitable techniques to achieve the required objectives; ‐ is free to formulate and disseminate results and evaluations within the scope of its specific
purposes; ‐ accesses and reports without limitation to management, Top Management, the Control and Risk
Committee and the Board of Directors, also through the Control and Risk Committee.
42
B.6 Actuarial Function The Actuarial Function contributes to the Risk Management System and in particular:
‐ continuously ascertains that the company complies with the requirements for the calculation of the Solvency II Technical Reserves and identifies the potential risks deriving from the uncertainties associated with this calculation;
‐ supports the Risk Management Function, in particular: o in the identification and analysis of corporate risks, with particular regard to technical risk,
and for the construction of a risk management system consistent with the Solvency II system;
o in the phase of selecting the hypotheses for calculating each volatility factor (USP), evaluating the parameters determined by the Actuarial Analysis Function;
o in the assessment of the impact of the use of USP on the Solvency Capital Requirement; o in checking compliance with the conditions on which the use of specific parameters is
based; o in the analysis of the deviations from the hypotheses underlying the calculation of the
Solvency Capital Requirement assessed according to the Standard Formula; o support in risk and solvency assessment (ORSA) with particular regard to technical risks as
well as the definition of data quality standards; o in the assessment of the risk mitigation effect, deriving from reinsurance, in the calculation
of the Solvency Capital Requirement; o in assessing the adequacy and effectiveness of the risk management system, on the
methods and models used, to monitor risks.
‐ expresses an opinion on the quality of the data, on the appropriateness of the assumptions and models used to calculate the specific parameters of the company and the process performed;
‐ verifies that the inputs used to calculate the USPs are the same or are in any case consistent with those used for the calculation of the Solvency II technical reserves;
‐ provides opinions to the Board of Directors regarding the general underwriting policy adopted by the Company and regarding reinsurance agreements, including the assessment of consistency with the risk appetite.
B.7 Outsourcing Outsourcing Policy approved by the Board of Directors defines guidelines and strategies that Vittoria Assicurazioni adopt on the outsourcing of activities and/or functions pursuant to ISVAP Regulation no. 20/2008. The Policy is drawn up in compliance with existing regulatory requirements, at national and international level. More relevant organizational documents are the Outsourcing Organizational Arrangement, the ‘‘Purchase Procedure’’ and the main related organizational documents, as well as the Company’s Business Continuity Manual. The Policy is also prepared in line with the ‘‘Procedure for related-party operations’’ approved by the Board of Directors pursuant to CONSOB Resolution no. 17221 of 12 March 2010 and to the Policy on Infragroup operations adopted by the Board of Directors pursuant to IVASS Regulation no. 30 of 26 October 2016. Given that Vittoria Assicurazioni operates only in Italy, the providers of outsourced services are located on the national territory, therefore the competent jurisdiction is the Italian one.
The Policy objective is to rule the guidelines to be adopted in relation to the outsourcing of activities and/or functions, by identifying the general principles and criteria used to qualify the activities to be outsourced and to select and assess the provider; the assignment of roles and responsibilities on outsourcing and; the definition of the frequency relating to assessments of the provider performance level and the Service Level Agreement; the statement of willingness not to outsource control functions. The Service Level Agreement (SLA) are agreements whereby the parties define the service conditions the provider must comply with and the performance level that should be granted. Therefore, upon definition of the agreements with the
43
provider of the activity to be outsourced, methods and parameters to assess the performance level are agreed upon, based on shared, objectives and measurable indicators.
The Company can avail itself of the outsourcing in order to improve the efficiency and profitability of the company processes, hence can enter into outsourcing agreements, provided that the nature and quantity of the outsourced activity and the terms of transfer do not result in an emptying of the Company activity itself. This outsourcing allows to provide a valid service quickly, with increasing efficiency and performance. The Company has defined specific qualitative and quantitative criteria to identify the essential or important activities. The outsourcing of an essential activity means the outsourcing of the typical insurance processes of capital management and claims management, whose annual amount paid to the provider for the specific service exceeds the minimum significance threshold of Euro 50,000, while the outsourcing of important activity means the outsourcing whose annual compensation paid to the provider for each service exceed the minimum significance threshold of Euro 750,000. The selection of the provider represent a condition to guarantee good quality levels of the outsourced activity to the Company and to pursue profitability objectives. Selection criteria identified are mandatory in case of outsourcing of essential or important activities, as well as of other activities for which the annual compensation established by the provider is higher than Euro 50,000. Below this amount, verification of the integrity requirement is optional. In case of outsourcing of activities to Group companies, the verification of the requirements of integrity and economic standing is optional, without prejudice to the application of the principles set forth by the Policy on the Infragroup Operations and the Procedure for the Related-Party Operations. All agreements must also include the clauses/appendices provided for by the Purchase Procedure adopted by the Company and, in any case, those compliant with ISVAP Regulation no. 20/2008 and EU Regulation no. 35/2015.
The Company ensures that there are contingency or emergency plans within the outsourced projects, i.e. acts to guarantee the business continuity, and that these plans are properly regulated in the contractual relationship with each provider. To enhance the contractual measures in force, inside the outsourced project, also the main actions to undertake in the contingency situations are defined. In case of early termination of the relationship for the outsourcing of essential or important activity, the Company envisages an exit strategy. The Compliance and Anti-Money Laundering Function is responsible for checking the features of the activity to be outsourced and the nature of the essential or important activity, as well as for overseeing the correct execution of all obligations under the regulatory provisions and internal procedures: from the drafting of contracts to the disclosures to the Insurance Regulator. The Function requesting the outsourcing, after evaluating the opportunity to outsource the activity, notifies its intention to the Compliance and Anti-Money Laundering Function that assesses whether the activity falls within the scope outlined in the section ‘‘Activities that can be outsourced’’. The opportunity to outsource one activity is supported by an analysis that considers direct and indirect costs or even hidden charges, of the dependence on third parties, of the protection of the company know-how and potential discontinuities due to unexpected decreases of the provider performance.
If the activity falls within the activities that can be outsourced, the Compliance and Anti-Money Laundering Function assesses whether the activity must be classified as ‘‘essential or important’’. Furthermore, the Head of Compliance, if appropriate, involve the dedicated Committee for Infragroup operations that previously checks the outsourcing opportunity in order to identify the authorization procedure for the operation, verifying the competence for the approval of the Operation and any need to involve the Company’s Related-Party Committee. If the activity is classified as essential or important, the Requesting Function provides the Senior Management and the Risk Management Function, as well as a copy to the Compliance and Anti-Money Laundering Function, with a Report on the outsourcing project containing information and the assessment on the activity outsourcing, where organizational, managerial, financial aspects leading to this proposal with due justification are outlined. Furthermore, this Report includes overall
44
terms and conditions of the outsourcing agreement. The assessment of the advantages relating to the outsourcing, compared to the direct performance of the activity by the Company, is carried out by the company function involved in the performance of the service or activity. This assessment process is duly represented and documented inside the Report on the outsourcing project. At the end of the identification process of the essential or important outsourced activities or of provider selection, a copy of the Report on the outsourcing project is sent --- along with a definitive copy of the contract --- to the Compliance and Anti-Money Laundering Function and to the Risk Management Function, so that it is brought to the attention of the Risk Management Committee.
Then, the Report is submitted to the Board of Directors, which is empowered to approve the outsourcing project and authorize the general terms and conditions of the outsourcing agreement. The authorization takes place also in case of renewal or subsequent renegotiation of the contract. Following the authorization issued by the Board of Directors, the Expenditure Manager signs the contract. The persons in charge of controlling the outsourced activities are designated with letter of appointment by the Heads of the business units involved in the outsourcing. The appointment and any changes are promptly notified to the Compliance and Anti-Money Laundering Function and Human Resource Function. These persons in charge of the controls have functional competences that enable to manage and constantly monitor the outsourced activities.
Within the management of the outsourced activities, the Company entrusted following tasks to the Compliance and Anti-Money Laundering Function:
keeping and constantly updating the register of the outsourced activities, for each of which a Person in charge of the Control is identified. To this end, the persons in charge are required to confirm the correctness of data relating to the outsourcing contract and the provider and to inform the Compliance and Anti-Money Laundering Function if, during the year, changes or amendments to contracts reported were made (including the termination of the relationship);
carrying out, on a six-month basis, control and census of the outsourced activities other than the essential or important ones as well of the changes to related contracts;
reporting, on a six-month basis, to the Risk and Control Committee on the ongoing outsourcing activities;
handling disclosures with IVASS. The Compliance and Anti-Money Laundering Function plays a central role in the management of communication obligations towards IVASS. As part of the outsourcing of essential or important activities, the Compliance and Anti-Money Laundering Department is required to make the following communications:
‐ prior communication at least 45 days before the execution of the contract according to the model set out in Annex 2 of ISVAP Regulation no. 20/2008;
‐ communication in case of significant changes during the contract; ‐ notification of termination of the contract, attaching a report on the methods of re-internalising the
business or relying on another supplier. With the transmission of financial statement data, the Compliance and Anti-Money Laundering Department sends the list of non-essential or important outsourced activities using the model set out in Annex 3 of ISVAP Regulation no. 20/2008. In order to guarantee correct, complete and timely knowledge of the corporate bodies regarding the management of outsourcing, as well as the risks associated with it, specific information flows are envisaged towards the Board of Directors, the Top Management, the Risk Management Committe and the organizational units involved in outsourcing. The organizational units involved are also required to communicate to the control functions, for aspects of their respective competence, any relevant fact.
45
B.8 Other information There are no other information to be reported.
46
C. Risk profile The Company’s exposure to risk, including any exposure arising from off-balance sheet, is measured with the Standard Formula envisaged by Solvency II regulation.
As at 31 December 2017, there are no cases of risk transfer through securitization or other Special Purpose Vehicles.
The risk profile of Vittoria Assicurazioni as at 31 December 2017 can be represented by the so-called ‘‘tree’’ of SCR., which enables to understand the significance of the risks, as well as the benefits of diversification among modules and sub-modules of risk: this schema is outlined in chapter E.2 Capital management --- Solvency Capital Requirement and Minimum Capital Requirement.
C.1 Underwriting risk Capital absorption for the underwriting risk is referred to possible unexpected losses both on the covered risks, and on processes used in the conduct of business. These losses are a possible increase in the technical provisions as a result of adverse and unexpected events, and their amount is calculated by aggregating:
‐ three sub-modules, premium and reserve, lapse and catastrophe, for Non-life and Health ; ‐ seven sub-modules, mortality, longevity, disability/morbidity, lapse, expense, revision and catastrophe,
for Life.
Non-life and health underwriting The Non-life and health premium and reserve sub-module is referred to: ‐ for the premium component, the risk that premiums generated from existing contracts are not sufficient
to cover claims and the expenses incurred and to be incurred arising from these contracts; ‐ for the reserve component, the risk that the amount of the claims reserves is estimated in an improper
manner and that, due to the stochastic nature of the payments of claims, these latter may fluctuate around the best estimate.
The Non-Life and Health lapse risk sub-module covers the risk of losses or the increase of the technical provisions arising from changes in the renewal rates, in case of contracts with unilateral renewal options available for the contracting party, in other words, it quantifies the capital requirements related to the possible inadequacy of the estimates on assumptions of discontinuance of the portfolio used for the calculation of the technical provisions, or of changes to the policy holders’ behaviors. Still in the context Non-life and Health, the catastrophe risk sub-module quantifies the risk of losses or increase in technical reserves linked to possible extreme or exceptional events such as natural catastrophes (storm, flood, pandemic, etc.) or artificial catastrophes (fire, terrorism, other events involving a place where there are many insured parties etc.). Losses determined at sub-module take into account the mitigation provided by the passive reinsurance, where provided for by the Standard Formula. Life underwriting
The mortality risk sub-module is related to the policies subjects to mortality risk, for which an increase in the mortality rate results in an increase of the technical provisions and the payment of benefits to the recipients. The longevity risk sub-module is related to the policies subject to longevity risk, for which a decrease in the mortality rate results in an increase in the technical provisions and the payment of the benefits to the recipients. Similarly, the disability/morbidity risk sub-module quantifies the capital requirements related to a possible increase in the disability and morbidity rates.
47
The lapse risk sub-module is related to options offered to the insured parties, whose exercise can change the future cash flows and therefore the technical provisions (termination, surrender, decrease, restriction or suspension of insurance covers, annuity appetite etc.). The expense risk sub-module is related to the risk linked to the change in expenses resulting from the contract management, and aims at covering the risk that the management costs received upon premium collection cannot be sufficient to cover a future expense increase. The revision risk sub-module quantifies the capital necessary against an instantaneous permanent increase of the annuity benefits paid by the Company where the benefits may increase as a result of changes in the legal framework or state of health of the person insured (contractual clause not included in the insurance policies issued by Vittoria Assicurazioni). The catastrophe risk sub-module reflects a scenario in which the mortality is subject to one-off increase as a result of extreme and irregular events.
C.2 Market risk The capital absorption for the market risk reflects the risk arising from the level or volatility of the market prices of the investments impacting on the value of the Company’s assets and liabilities, as well as structural mismatch between assets and liabilities, in particular with respect to their duration, and is calculated by aggregating the following sub-modules: equity, real-estate, spread, currency and concentration. Assets and liabilities held by the Company directly or by Funds are taken into account. Equity risk The equity risk reflects the possible losses arising from the changes in the level or volatility of the market prices of the equity instruments, and is directly linked to the market value of related financial instruments. Two different levels of capital absorption are provided for: ‐ 39% for equities listed in regulated markets in the EEA o in OECD countries; ‐ 49% for other equities listed in stock exchanges, equities that are not listed equities and alternative
investments.
Percentages above mentioned are then adjusted by ±10% relating to a symmetric mechanism of counter-cyclical adjustment (as at 31 December 2017 it is +1.90%). Equity investments (in subsidiaries and associates) qualified as strategic benefit from a lower level of capital absorption (22%). This category include investments in real-estate companies held directly by the Company that, besides meeting the Governance requirements (strategy and ability to hold the investee company for a long time), by highlighting a potential expected loss to one year that is significantly lower than the possible loss for other financial equity instruments (49%). Furthermore, the calculation of the capital absorption considered that, in the Delegated Acts, ‘‘Transitional Measures’’ were introduced in order to avoid abnormal increases of volatility of the equity markets and to allow all investments in capital instruments, including those available in the Funds, to be subject to a capital absorption of 22%. This facilitation, that is only referred to investments already held on or before 1 January 2016, will be gradually withdrawn in seven years, realigning the capital absorption of these investments to 39% (if listed) and to 49% (if not listed) in 2023. Real estate risk The volatility of the real-estate markets, within the Standard Formula, is considered by determining a capital absorption that is 25% of the market value (in this case identified in the appraisal values) of the real-estate investments, regardless of destination and nature.
48
Spread This risk reflect the sensitivity of the value of assets and liabilities and the financial instruments to changes in the level or volatility of credit spreads against risk-free term structure. Government bonds, or anyway connected to them, are not included in this risk. The amount of the capital absorption increases as the rating class decreases and the duration of the securities considered increases. Currency risk The currency risk reflects the changes in the level or the volatility of the currency interest rates, to which the undertakings may be exposed both with reference to the assets and liabilities held. The capital absorption provided for by the Standard Formula is 25% of the related net exposures denominated in each currency. Interest risk The interest risk arises from the sensitivity of the value of assets, liabilities and financial instruments to changes of the maturity structure or volatility of spreads. After quantifying the base NAV value as difference between Assets and Liabilities that are sensitive to the spreads, the capital absorption corresponds to the worst of the two changes in NAV occurring in two scenarios, where the value of Assets and Liabilities is re-calculated with a spread curve altered with upwards and downwards shocks. Concentration The sub-module measures the additional risks arising from investment portfolios that are particularly focused on some counterparties, by taking into account the significant exposures to the same counterparty or Group. To this end, activities considered in the spread, equity and real-estate risk sub-modules are examined, with exclusion of the investments in government bonds or in subsidiaries. On the basis of the foregoing, the only position on which a capital absorption was calculated as at 31 December 2017 consists of the investment in Yam Invest N.V., that belongs to the equity investments.
The ‘‘Prudent person principle’’ under Article 132 of the Solvency II Directive has been transposed, at governance level, through the adoption of the specific Investments, ALM and liquidity Policy, whose main objective is to define the conditions that enable the Company to permanently generate future cash flows to fulfil the contractual obligations with insured persons while maintaining an adequate profit. In particular, the specific objectives for the management of the investments, consistently with the overall Risk Management System and with the Risk Appetite, are as follows: - guaranteeing the capital strength of the Company through an efficient allocation of financial assets to
be implemented in relation to the risk and return objectives defined according to the commitments made to policyholders;
- defining an investment process that disciplines the methods for determining investment decisions within a defined framework of limits and risks consistent with the business activity performed;
- determining the tactical asset allocation based on the medium / long-term strategic asset allocation and on the performance of the economy and the reference markets.
The Investments, ALM and Liquidity Policy envisages a portfolio division in ‘‘core-satellite’’. The core component is invested in debt securities with Investment Grade or liquidity instruments, with features that are compatible with liabilities both in terms of the average duration and time frame of cash flows. In order to limit the investment risk, the securities in the "core" portfolio are selected according to the established criteria (key economic data, past and expected for the future, of the issuing country), and income information is also examined for the instruments issued by companies. EBIT and EBITDA and credit margins, such as the Debt / Equity ratio, etc.), and in particular with maturities and coupon flows that ensure a regular liquidity contribution without the need to normally sell them.
49
The "satellite" component normally provides for the investment in financial instruments and / or strategies that cannot be replicated internally, or whose implementation would not be efficient through the purchase or sale of individual securities. These are less liquid financial instruments, such as private debt or private equity funds or strategic financial and real estate equity investments. In this case, the selection of instruments (in particular debt and private equity) takes place through an internal due diligence process which, once the third-party management companies have been identified, envisages the preparation of a specific questionnaire and the subsequent analysis of the answers provided as well as the meeting with the selected management company, followed by an assessment of the consistency between the investment and the overall objectives of liquidity, return and risk of both the individual portfolio and, as regards the risk, of the total assets of the Company. As a whole, the investment portfolio composition is structured in such a way as to provide for an adequate level of diversification among the different asset classes, consistently with risk profile of liabilities and in the pursuit of safety, profitability and liquidity of the portfolio as a whole, also resulting in its proper dispersion. In managing the investments, the Company takes into account the features of each portfolio, with particular reference to the various profiles of insurance liabilities maintaining the objective of obtaining adequate future cash flows in relation to the commitments made.
The investment policy, ALM and liquidity provides for the monitoring, through specific reporting, of existing positions.
Assets held in relation to Life insurance contracts whereby the investment risk is supported by the policyholders (linked insurance policies and pension-fund management) are handled according to the objectives and strategies provided for by related insurance policies and regulations, pursuant to the total transparency towards policyholders and beneficiaries.
The Company, in order to evaluate the investment risks taken, carries out proper stress tests (i.e. impact of a depreciation of the equity and real-estate prices, of the change in the term structure of changes in the spread). As for the safety of the investments, the Company has implemented, in addition to the usage of ratings issued by independent parties (ECAI), its own instruments and techniques to evaluate the credit risk, such as the leverage and the performance of the shares of the issuer and related Credit Default Swap spreads. Besides the limitations for the purposes of managing the liquidity risk, the Company established rules and limits on the investments, including: ‐ The definition of rules for the allocation of investments to the investment portfolio or trading portfolio,
and minimum limits to be assigned to the trading portfolio, with a distinction between Life Business Management and Non-Life Business Management;
‐ A percentage cap to the securities that are not listed in regulated markets and therefore potentially low liquid;
‐ A higher cap for the changed duration, consistently with the liabilities structure, with a distinction between Life Business and Non-Life Business;
‐ A cap that is higher than the ratio between SCR Market (Standard Formula) and the total assets subject to Market Risk;
‐ Investment limits per geographical area, currency, rating grade (between A and AAA, Investment Grade and non-Investment Grade) and issuer category (Italy, other countries, other issuers);
‐ Investment limits in derivatives (as at 31 December 2016, this kid of investment is not included in the Company’s portfolio);
‐ Limits to lending, broken down per counterparty, type of guarantee etc.
50
C.3 Credit risk The credit risk module reflects potential losses generated by an unexpected default or deterioration in the credit standing (i.e. rating) of the counterparties and debtors in the following twelve months. Exposures are divided in two types: ‐ Type 1: counterparties, aggregated per Group, having a rating that enables to assess the probability
of default (credits to insurance or reinsurance companies and balances on bank or post accounts). ‐ Type 2: exposures in which the counterparty is without (policyholders, intermediaries, residential
mortgage lending etc.).
The capital requirement considers the default probability of the counterparty (Type 1) and the credit seniority (Type 2).
C.4 Liquidity risk The liquidity risk reflects possible losses arising from the difficulty of fulfilling the cash commitments, expected or unexpected, owed to counterparties, and arises mainly by:
a) Market Liquidity Risk, i.e. the sale of assets in unfair economic and timing conditions, accordingly influencing the Net Asset Value of the company;
b) Liquidity Mismatch Risk, i.e. the mismatch between cash inflows and cash outflows or an inadequate treasury management.
In particular, the liquidity risk for the Company mainly arises from: ‐ Management of the insurance portfolio, mainly for the uncertainty of the amount and timing linked to
occurrence of the obligations take in the insurance portfolio (compensation for claims, claims payments, etc.);
‐ Management of insurance and reinsurance assets, in particular linked to the risk that the reinsurance contractual counterparty which the Company is exposed to cannot fulfil obligations entered into;
‐ Management of the debt financing, with the risk that the Company cannot fulfil existing obligations because of insufficient resources;
‐ Management of investments, including the liquidity risks connected to those assets that may potentially
become illiquid and lead to unexpected losses from disinvestment.
The Company established a policy that, inter alia, provides for: ‐ The control of the liquidity risk in the short term and in the medium-long term; ‐ The creation of a minimum level of liquidity to be kept on the bank accounts and a minimum level of
liquidity buffer (liquidity and free and readily cashed in short-term investments); ‐ The procedure for monitoring said levels; ‐ The estimate of financial flows forecasts and their check in the final balance.
The Standard Formula of Solvency II does not provide for a capital absorption for the liquidity risk.
C.5 Operational risk The operational risk refers to the exposure to risks that are not considered in the other modules: possible losses arising from inadequate internal procedures, personnel or system mistakes or from external events.
It is a residual operating risk, additional compared to the operating risks already included in the other sub-modules.
It includes the legal risks and excludes risks arising from strategic and reputational decisions.
The Standard Formula, that cannot evaluate the adequacy of procedures and systems of each company, quantifies the operating risk with a calculation that takes into account only three company dimensions (mainly technical provisions, premiums and related growth).
51
C.6 Other material risks No other material risks are to be found.
C.7 Other information The Company implemented the adequate techniques of risk mitigation (that influence the probability that adverse events occur), consisting mainly of the use of reinsurance coverages, as well as the recourse to real guarantees (mortgages and deposits).
As for the first ones, the Reinsurance Policy of the Company aims at pursuing the balance of the preservation of each segment, and as a whole, for all segments.
Based on the vision of the overall exposure to the insurance risk, the proper reinsurance strategy is deployed to determine outward reinsurance properly and in line with the its risk appetite, while optimizing the use of the capital. Outward reinsurance, included in the relevant plan, are carried out by following the guidelines of said Policy.
With reference to the net level of risk retention, the assessment of the best retention is made considering: ‐ An assessment of the capital margins available; ‐ An assessment on the experiences of claims rate of the portfolio checked on the technical results of
the Company; ‐ The level of risk tolerance defined in the Risk Appetite statement.
Specific tools used enabled to determine that the maximum possible damage is referred to the portfolio relating to the Fire and Technological Risk sectors for the Earthquake guarantee considering, through simulation, the effects of a single catastrophe event on the portfolio in a return period of 1/250 years.
Consistently with the retention objectives, it is defined whether to use the proportional or non-proportional reinsurance and, for the underwriting of risks that do not have quantitative or qualitative features established by insurance treaties, but falling into the philosophy of the Company’s underwriting, specific facultative outward reinsurance arrangements are used.
The Reinsurance Policy defines also procedures for selecting the counterparties, that provides for assessing and monitoring the credit worthiness of reinsurer counterparties and checking any restrictions to procedures of the balances settlement, as well as the maximum exposure to a single counterparty or group.
The verification of the efficiency of the risk mitigation performed through reinsurance is carried out when the annual plan of outward reinsurance and half-year changes is defined. The Company makes periodic stress-testing, quantifying the impacts that would follow the occurrence of adverse scenarios, consisting of both external phenomena, and by changes in the industry regulations. By way of example, when performing the Own Risk and Solvency Assessment (ORSA), based on the recommendation by the Insurance Regulator, two stress-tests were carried out in these scenarios:
‐ Persistency of very low interest rates (‘‘interest rate scenario’’); ‐ Consistent increases of the credit spreads on the financial activities, with significant impact also on
the equity and real-estate market (‘‘macroeconomic scenario’’). Further stress scenarios were as follows:
‐ hypothesis of increase in the frequency of MTPL segment claims for the following three years, with consequent recalculation of the specific parameters of the company;
‐ a catastrophe event hypothesis accompanied by the default of the main reinsurer affected by the protection program;
‐ hypothesis of a deterioration in the Company's image, with a consequent reduction in premium income and an increase in advertising costs and operational risks.
In any of the above scenarios, there were values that were not compliant with the risk appetite defined by the Company: the worst scenario was the so-called ‘‘macroeconomic’’, whose occurrence could lead to a decrease of the Solvency Ratio from 216.1% to 166.8%.
52
D. Valuation for solvency purposes General principles For the purposes of preparing the Solvency II financial statements, the Company values assets and liabilities in compliance with Article 75 of the Directive, whereby: a) assets shall be valued at the amount for which they could be traded between knowledgeable willing
parties in an arm’s length transaction; b) liabilities shall be valued at the amount for which they could be transferred, or settled, between
knowledgeable willing parties in an arm’s length transaction. In particular, above provisions were evaluated according to the international accounting standards adopted by the Commission under the EC Regulation no. 1606/2002, compatible with Solvency II regulation. The Company has not used criteria of valuation that are not allowed by Article 16 of the Delegated Acts. Fair value hierarchy In identifying the fair value levels, the Company follows the following hierarchy:
o assets and liabilities are valued with listed prices in active markets for the same assets and liabilities, if any;
o when the use of listed prices in active markets for the same assets and liabilities is not possible, assets and liabilities are valued using prices that are listed in active markets for similar assets and liabilities with adjustments to reflect the differences;
o where the two previous methods cannot be applied, the Company avails itself of alternative valuation methods.
Factors for determining an active market are, in order: a. Trading volume; b. Trading frequency; c. Market participants’ willingness to trade the asset at market prices.
When using alternative valuation methods, the Company relies on valuation techniques that are consistent with one or more of the following approaches:
‐ Market approach, which uses prices and other relevant information generated by market transactions involving identical or similar assets, liabilities or a group of assets and liabilities, quoted in markets that are not active;
‐ Income approach, which converts future amounts, such as cash flows or income and expenses, to a single current amount. The fair value reflects current market expectations about these future amounts;
‐ Cost approach or current replacement cost approach, which reflects the amount that would be required currently to replace the service capacity of an asset. From the perspective of a market participant seller, the price that would be received for the asset is based on the cost to a market participant buyer to acquire or construct a substitute asset of comparable quality adjusted for obsolescence.
When using alternative valuation methods, the Company defines, chooses and makes the maximum use of relevant market inputs, including:
‐ quoted prices for identical or similar assets or liabilities in markets that are not active; ‐ inputs other than quoted prices that are observable for the asset or liability, including interest rates
and yield curves observable at commonly quoted intervals, implied volatilities and credit spreads; ‐ market-corroborated inputs, which may not be directly observable, but are based on or supported
by observable market data. To the extent that relevant observable inputs are not available including in circumstances where there is little, if any, market activity for the asset or liability at the valuation date, the Company uses unobservable inputs reflecting the assumptions that market participants would use when pricing the asset or liability, including assumptions about risk. The valuation can be performed internally or by relying on appraisals drawn up by external independent experts.
53
When making valuation of assets and liabilities, separately for each class, the Company applies the principle of materiality and proportionality of data, in compliance with Delegated Acts. Valuation is performed on a going-concern basis. The Company aggregated the individual balance sheet items in the different classifications provided for the Solvency II Regulation, given the nature and risks relating to each item. In particular, the plan of the individual balance sheet was reviewed in order to identify the homogenous indicators based on the features of each item.
D.1 Assets
Valuation method A. Intangible assets For the purposes of Solvency II, the value of the intangible assets, including goodwill, deferred acquisition costs, as well as other intangible assets not tradeable in active markets, is set to zero, as not tradeable on an active market. When an item of the other intangible assets is tradeable on active markets, this is valued on Fair Value. In the individual balance sheets, the intangible assets are amortized on the basis of the residual useful life, that is periodically reviewed. B. Deferred tax assets The item includes deferred tax assets found in the balance sheet, with all differences arising from local GAAP values and Solvency II values. Differed taxes are due to:
‐ Temporary differences, i.e. mismatch between the moment when a component of expenses or income is entered in the balance sheet and the related taxability or deductibility;
‐ Differences between the values recognized for tax purposes and the book values ascribed to assets or liabilities in the balance sheet or the statement of assets and liabilities prepared with Solvency II accounting standards;
‐ Any benefits on previous tax losses. The differed taxes are calculated based on tax rates in force in the year when there is the reversal of differences, notwithstanding the laws issued as at the date of the balance sheet drafting, given the peculiar tax regime applicable to the different items of the statement of assets and liabilities. The deferred tax assets are recorded to the extent that there is the reasonable assurance of adequate future taxable income in the years in which the deductible temporary differences come due.
Assets held for index-linked and unit-linked contracts 76,225 - - 76,225 Reinsurance recoverables 63,263 - (15,827) 47,436 Receivables and other assets 279,458 (24,113) - 255,345 Cash and cash equivalents 84,422 - - 84,422
Total assets 3,687,968 (24,113) 229,238 3,893,093
(€/000)
54
In particular, it is expected that deferred tax assets, net of the DTL transfers, are recovered as follows: Within 1 year: 28%; from 2 to 5 years: 56%; over 5 years: 16%.
There are no unused tax losses or tax credits for which no deferred tax asset is found in the balance sheet. In the individual financial statements deferred tax assets and liabilities are calculated on the basis of the rates in force at the time when the temporary differences reverse, making appropriate adjustments in the event of a change in rate compared to previous years, provided that the law that varies the the rate has already been issued at the financial statements date. C. Property Assets included in this category are valued to fair value, according to the fair value hierarchy before mentioned. The valuation is based on appraisals by external independent experts, which according to the classification of the properties are based on:
- Owner-occupied property: comparative method and income method of direct capitalization; - Investment property: income methods of processing and discounted cash flow. In particular, the
discount rate is the weighted average capital cost (WACC) which takes account of a leverage ratio of 50%, prospective inflation assumptions and the return on government bonds.
For the purposes of the individual balance sheet, property is valued to the cost adjusted for the amortization, write-downs and cumulated tax revaluation. The useful life considered for the purposes of amortization is fifty years for the registered office and thirty-three for all others.
Plants and equipment allocated to this item have been valued in compliance with Article 75 of the Directive. D. Investments The item includes investments in subsidiaries, associates and joint ventures, in which the Company holds, directly or by way of control, 20% or more of the voting rights or capital or a dominant or significant influence. The classification between subsidiaries and associates reflects, respectively, the presence of control or significant influence on the investee companies. As these participations are not listed, the value for Solvency II purposes was determined using the adjusted equity method (pursuant to Article 13 of the Delegated Acts) which requires the undertaking to value its holdings in related undertakings based on the share of the excess of assets over liabilities of the related undertaking held by the participating undertaking, by valuating with Solvency II criteria any assets and liabilities ascribed to the balance sheet of the participating undertaking. For non-significant investments in associated companies, the valuations were made considering the principle of proportionality. In the individual balance sheet, participations are valued to the acquisition cost, including related charges net of any durable losses of value. These losses are recovered in the following balance sheets if the reasons for the valuation adjustments made no longer apply. E. Equities, bonds and other investments Equities, bonds and investment funds listed are valued to the market price traded on active markets, of the last available trading day. With particular reference to the Investment Funds, the Fair Value is represented by the value of the equity published and, if not available, valued using the last value of the equity available, including instalments or reimbursements issued in the reference period.
55
Valuation applied to unlisted shares and bonds were carried out as follows: ‐ Unlisted equities: for unlisted capital equities, but for which transactions in liquid markets take place, the
Fair Value is measured on the basis of prices of recent transactions; ‐ Unlisted bonds: in case of bonds unlisted on regulated markets, the Fair Value is measured alternatively
as follows: 1) on the basis of prices of recent transactions, if transactions are carried out in liquid markets; 2) on the basis of the observation of the market prices of similar instruments; 3) using the cost net of any impairments cumulated for bonds of non material value.
In order to mitigate the impact of the main uncertainties, the Company checked that the securities available in the portfolio are traded in an active and liquid market. The unlisted equity investments mainly refer to the shares held in the company Yam Invest N.V. and in the company Nuove Partecipazioni S.p.A. for which an independent expert appraisal was used, which determined a range of maximum and minimum values, within which the fair value was placed, equal to 65,655 thousand euro for Yam Invest N.V. and 39,673 thousand euros for Nuove Partecipazioni S.p.A. as of December 31, 2017. The evaluation methods applied are:
- the Sum of the Parties ("SOP") method, based on the principle that the economic value of a company is determined by estimating the value of the individual assets that comprise its assets and deducting the related liabilities and the cds. holding costs.
- the Simple Capital Method based essentially on the principle of the expression, at current values, of the individual assets that make up the company's capital and the updating of passive elements.
As for the stress tests adopted by the Company, reference is made to chapter: ‘‘B.3 Management risk system, including Own Risk and Solvency Assessment (ORSA)’’. For the purposes of the individual balance sheet, these investments are recorded at the purchase cost less any durable losses of value, losses that are not kept in the following balance sheets if the reasons for the valuation adjustments made no longer apply. With regard to short term bonds, they are recorded at acquisition cost including all ancillary charges and are valued in the financial statements at the weighted average cost or, if lower, at the realizable market value. This lower value is not maintained in the subsequent financial statements if the reasons for the adjustments made no longer apply. The cost of fixed-income securities is adjusted by the amount accrued in the year of the issue discount, equal to the difference between the issue price and the redemption value. F. Assets held for index-linked and unit-linked contracts These investments are related to insurance policies with risk borne by the Life policyholders and are valued at the price and exchange rate of the last trading day of the year, both for Solvency II purposes and for the individual balance sheet. G. Amounts recoverable from reinsurance Similarly to what happens to the technical provisions of direct and indirect business, resinsurers’ and retrocessionaires’ shares are redrafted, against the balance sheet, with the Solvency II criteria, that take into account the expected financial flows related to the recoveries on the obligations of the direct and indirect business, discounted on the basis of the Volatility Adjustment curve. H. Receivables and other assets This item is valued according to provisions under the Article 75 of the Directive. In the individual balance sheet they are valued at the expected realizable value, calculated from the adjusted nominal value by dedicated Allowance for doubtful accounts and determined by the valuations made by the Industrial Accounting Function, given, for insurance receivables, the historical trend of recoverability and seniority of the receivable, recorded for each segment. In the individual balance sheet, the insurance receivables and receivables to intermediaries include the amounts to be recovered by Policyholders and third parties for claims payments on policies with ‘‘no claims bonus’’ clause, deductibles
56
and subrogations, which for Solvency II purposes are reversed from the receivables, as already included in the Best Estimate calculation. Other assets of the financial statements mainly include prepaid items that are calculated with the pro-rata temporis method. I. Cash and cash-equivalent Available balances are recorded, both for Solvency II purposes and for the individual balance sheet, at the nominal value. Balances of currency accounts are calculated at the exchange rates at the end of the period. There are no financial or operating leases.
57
D.2 Technical provisions
D.2.1 Technical provisions: value for material asset area Reference is made to the quantitative models S.12.01.02 and S.17.01.02, attached hereto, which outline respectively the value of Life and Non-Life technical provisions, separately for each line of business.
D.2.2 Technical provisions: main bases, methods and assumptions used for the solvency assessment Composition Solvency II regulation provides that all items are reported on the balance sheet at the fair value. In this case, the Technical Provisions can be calculated as a Whole according to the market value of financial instruments used. For all other technical provisions, the Solvency II regulation provides that the market value is determined as the sum of Best Estimate and Risk Margin. The Best Estimate is determined by the discounting of all expected cash outflows (net of cash inflows), without prudent elements provided for by the current local GAAP and supervisory regulation: ultimate cost (Claims Reserve), premium linear deferral (Premium reserve) and usage of prudential technical bases (Mathematical Reserve). Discounting is carried out using risk-free rates and Volatility Adjustment. The Best Estimate is not the market price to which obligations to policyholders could be transferred, insofar as, just because of the lack of prudency required for its calculation, the potential acquirer of the liabilities would have the same probabilities (50%) to yield a profit or a loss from the settlement of acquired obligations. For this reason, the Best Estimate is integrated by the Risk Margin that, in the context of transferring insurance liabilities, represents the ‘‘risk remuneration’’ required by the acquirer in order to take the risk that the Best Estimate is insufficient. The Risk Margin is equal to the remuneration of the Own Funds that the acquirer of insurance liabilities must hold to cover the SCR needed till complete payment of the liabilities. The quantification method is defined Cost of Capital and the figurative remuneration rate of the capital is defined by the Supervisory regulation. The method applies also consistently with the reserves and reinsurance Recoverables. Best Estimate Financial flows provided for in relation to the settlement of Technical Provisions (payments for claims, expenses, etc. gross of premium receipts, recoveries etc.) are calculated gross and net of the reinsurance recoveries and discounted with the EIOPA curve. Non-Life Best Estimate: Claims and Recoveries, Direct and Indirect business, gross of the reinsurance: Claims reserve Direct Business (claims reported and IBNR): for all Homogeneous Risk Groups (HRG) the Chain Ladder triangles as at the observation date are analyzed. For the HRG with higher historical background, the model was subject to the right calibration, and therefore it is used to evaluate the Claims Best Estimate (both in terms of amounts, and of years, in which payments are expected to be made). For the HRG for which the Chain Ladder outcome provides an unreliable estimate as the evolution ratios have an unstable trend, the simplified method is used by approximating the Claims Best Estimate directly with the balance sheet reserve, that is changed in the financial flows expected for the following years using the related settlement speed observed in the recent years. This simplification was used for the LoB 9 and 12.
58
Sums to be recovered from policyholders and others --- Direct Business: for the more significant HRG, the estimate was made applying a percentage vector to the future payment flows estimated for the Claims Best Estimate and IBNR; the percentage, on each HRG, was chosen by comparing the historical arrays of payments with those of the recoveries carried out. For the HRG whose historical array is not deemed to be representative of the future flows, the balance sheet amount was used as approximation by developing future flows with the settlement speed of the direct business observed in the recent years on the related HRG. Open claims --- Indirect Business: the amount is estimated for each HRG using the balance sheet amounts, developed in the future years with the related settlement speed observed in the recent years. Non-Life Best Estimate: Claims and Recoveries, Direct and Indirect Business: Reinsurance Recoverables: Open claims (ceded business): this component is estimated applying to the Best Estimate ‘‘Claims Reserve Direct Business (reported claims and IBNR)’’ the same proportion available, for each HRG, between direct and ceded business available on the sums of payable and balance sheet reserve. Sums to be recovered (ceded business): this component is estimated by applying to the Best Estimate ‘‘Sums to be recovered from policyholders or others --- direct business’’ the same proportion available, for each HRG, between direct and ceded business available on the balance sheet sums to be recovered. Open claims (retroceded business): currently this item refers only to claims on guarantees on ‘‘Aviation hulls’’, included in the LoB 6 (Maritime, aeronautics and transport insurance), and is estimated by using the balance sheet data. Non-Life Best Estimate: Premium Reserve, Direct and Indirect Business, gross of reinsurance: Premium reserve --- direct business: the Premium Best Estimate is calculated by valuating separately the cash inflows (‘‘IN’’) and the outflows (‘‘OUT’’): Cash IN: ‐ Instalments: consisting of the infra-annual premium instalments that will be issued after the reporting
date on the contracts in force as at the observation date. ‐ Receipts on existing multi-year contracts as at the observation date. The related estimate is made by
calculating the premium that is expected to be received from the following year till the maturity year, disaggregated for each specific guarantee (and hence per line of business) as well as per collection year. Future projections are eliminated in order to consider the probability of contract termination by the policyholders after the first 5 years of the contract itself, also according the relevant regulations (‘‘Bersani Law’’).
Cash OUT: ‐ Claims and related expenses estimated for the year(s) following to that of observation, for the contracts
in force as at the date, covered by premiums already issued by the Company: the amount is approximated starting from the amount ‘‘Reserve for unearned premiums’’ of the balance sheet, gross of the acquisition costs, to which the historical Loss Ratios observed for each HRG is applied. The flow is developed in the future years using, for each HRG the settlement speed found in the historical trends and already used for the calculation of flows of the Claims Best Estimate.
‐ Claims and related expenses estimated for the year(s) following that one of the observation for the contracts in force as at the date and related above mentioned Instalments: the amount is approximated, for each HRG applying the historical Loss Ratios observed for the ‘‘Instalments’’. The flow of resulting amounts is developed in the future years, for each HRG the settlement speed found in the historical trends and already used for the calculation of flows of the Claims Best Estimate.
‐ Acquisition costs on the instalments: it is the acquisition costs provided for the year following the one of observation for contracts in force as at the date and related above mentioned Instalments.
59
‐ Claims and expenses (including acquisition costs) linked to receipts on multi-year contracts, in force as at the date of observation, that the Company estimates to collect from the year following the one of observation. Expected claims are estimated applying to the cash flows expected in the future years, the budget Combined Ratio for each HRG.
Premium reserve --- ceded business: the Premium Best Estimate of the direct ceded business is calculated applying to the Best Estimate of each component calculated on the direct business the ceded percentage observed in the balance sheet for the related HRG. Premium reserve --- indirect business and retroceded indirect business: for the indirect business, the estimate of the Cash Flows is made by considering only the claims component arising from the Unearned Reserve in the balance sheet. The flow of resulting amounts is developed in the future years using the settlement speed found in the historical trends and already used for the calculation of flows of the Claims Best Estimate. Life Best Estimate: Technical Reserves, Direct and Indirect Business, gross of reinsurance: For the calculation of the gross Best Estimates the actual value of future inflows and outflows produced by the contracts is used, by separately elaborating the flows gross of the reinsurance from the flows arising only from the reinsurance. The future cash flows of the Life contracts are projected till complete extinction of the portfolio, assumed to be in 30 years, by a calculation tool that uses reliable, realistic and entity-specific information and assumptions on the behaviors of the policyholders (surrender appetite, decrease, annuity conversion, maturity extension, increase or decrease of premiums etc.), on the demographic trends (mortality) and on the other significant factors (expenses, reinsurance, forward-looking expected returns on the Separate Management Accounts, guaranteed minimum returns, etc.). Cash inflows include: ‐ premiums; ‐ recoveries arising from the reinsurance. Cash outflows include: ‐ benefits payable for death; ‐ payable for disability; ‐ payable for redemption; ‐ payable for surrender; ‐ payment for annuities; ‐ administrative costs (commissions and costs directly linked to the management of the policies); ‐ payments to reinsurers. Linked policies
As for the so-called Linked policies, whose benefits are linked to indexes or other financial instruments and the financial risk is borne by the policyholders, the Company has evaluated that the contractual forecast of cost application in case of surrender, the presence of management commissions commensurate to the share value, along with the management expenses, ensure that, for these types of policies, the valuation with the As a Whole method is not enough accurate. The Best Estimates of said policies benefits are calculated using the rates of the risk-free curve provided by EIOPA as as expected annual returns of the underlying assets, also for the discounting of the projected cash flows. This projection method is subject to back-testing in order to check that the processing of cash flows in a scenario without surrender costs, commissions and management costs, leads to values that are in line with the As a Whole reserves.
60
Counterparty default adjustment Technical specifications require that the overall amount of the Best Estimate of the technical provisions borne by the Reinsurers is adjusted to take into account the possibility of default by the counterparty. As for the Non-life component, the adjustment was calculated using the simplified approach proposed by the regulation (Article 61 of the Delegated Regulation (EU) 2015/35) which considers the exposure to each counterparty according to the related Credit Quality Step. As for the Life component, the analyses of the historical series of the outward reinsurance suggest that the impact of the non-material adjustment, and therefore this adjustment, as at 31/12, was not calculated. Risk Margin
The Risk Margin is the part of technical provisions that quantifies the amount that is to be added to Best Estimate of the Technical Provisions to determine the overall amount that the Company should pay to another Company to transfer all existing contractual obligations. The calculation method for the Risk Margin is the Cost of Capital (CoC), that is calculated taking into account that who takes over in the obligations of a company transferring its technical provisions (in run-off events) must have a determined supervisory capital (destined for being gradually freed based on the technical provisions run-off), and that the availability of this capital is to be remunerated. The CoC is valued separately for the Life and Non-life technical provisions.
Calculation of Non-life Risk Margin The regulation requires that the calculation is made by estimating the SCRs of all future years till the complete run-off of the portfolio and assuming an annual cost, resulting from the figurative remuneration at 6% (rate set by EIOPA); the Risk Margin is equal to the sum of all annual costs, discounted at the date of observation. As it is not possible to make directly the calculation of the SCRs of the future years, one of the simplified method proposed by EIOPA was used, namely to approximate the future SCR by using a constant proportion against the Best Estimates.
Starting from the Best Estimate at the reference date, the relevant SCRs (Non-life, Health, Default Type 1 and Non-life component of the Operational Risk) were calculated and the projected Best Estimates for the following 16 were discounted, by assuming that future SCRs decrease compared to the original SCR at the same rate as the Best Estimates decrease. Future SCR obtained have been discounted and, on the capital total used overall for the run-off of technical provisions, the 6% of COC was calculated, by getting the overall Risk Margin, that was given to the HRG as a proportion of the related Best Estimates. Calculation of the Life Risk Margin The Life Risk Margin is calculated by adopting, among the different simplified methods proposed by EIOPA, the one that implies the constancy in the years to come of the ratio between SCRs (Life SCR and Life component of the Operational Risk) and the Best Estimate. Based on this assumption, the SCR amount relating to the current portfolio at the end of each year of projection is estimated by applying said ratio to the Best Estimate calculated at that time. The sequence of future SCRs so set is therefore discounted with curve of risk-free rates and without volatility adjustment. The application of the capital cost of 6% to this amount results in the Risk Margin, which has been attributed to LOBs in proportion to the respective contribution to the Life SCR.
61
D.2.3 Uncertainty level associated to the value of the technical provisions Non-Life
The uncertainty degree of the assessment of technical provisions is associated to the ‘‘model risk’’, i.e. that the method of calculation, albeit appropriate, includes a deterministic method having predictive nature. Since these are deterministic models, in order to have an indication of the extent of this uncertainty, a probabilistic range was constructed by applying the Mack formula to the payment triangle of the Segment 1-NL (MPTL) and the Segment 5-NL (GTPL), resulting in a placement at the 31.6th percentile and at 79.4th respectively. The main factors influencing the estimates (and the related recoveries from reinsurers) are the frequency of claims, the settlement speed, the growth and mix of portfolio, the reinsurance policy and the discounting rate curve.
Life
The most significant uncertainty factors in setting the technical provisions include the accuracy of statistics on the trends of the insurance policies in portfolio both demographically and with respect to the behavior of the policyholders (tendency to surrender, annuity conversion etc.), the financial variables (i.e. the discounting rates of the future cash flows), and the possible interactions between the market trends and the behaviors of the policyholders.
D.2.4 Difference between Solvency II assessment and balance sheet assessment Main bases, methods and assumptions used for the valuation for the purposes of individual balance sheet --- Qualitative differences Local GAAP reserves consist of: Non-Life Business:
Items Valuation Premium reserves The premium reserves consist of:
‐ Pro-rata temporis reserves, determined by calculating, for each contract, based on recognized gross premiums net of direct acquisition costs, the part of relevant premium of the period after the end of the year.
‐ Reserves for ongoing risks, calculated by estimating the amount of any risk surplus provided for on the insurance policies in portfolio compared to the reserve for part of premium with future premiums, net of acquisition expenses.
‐ Integrative reserves established under the Italian regulations for some LoB or guarantees (suretyships, hail, natural disasters, nuclear hazards).
Claims reserves The claims reserves represent the prudent valuation of compensations and settlement expenses estimated for claims occurred and not yet paid, wholly or partially, as of the date of the balance sheet date, based on all components forming the requirement for coverage of the claim’s ultimate cost. ‘‘Ultimate cost’’ means the means the estimate of all foreseeable costs based on a prudent assessment of factual evidence (document examination) and forecasts (expected claims settlement time frame and related inflation rates).
62
Other non-life technical reserves
The other technical reserves include the ageing reserve for health insurance that, in setting premiums, do not take into account changes in the policyholder’s age and contain clauses that limit the Company’s ability to withdraw. The estimate is based on a comparison between estimated cash inflows (premiums) connected to contracts and estimated cash outflows (claims and expenses), by setting aside 10% of gross premiums written on these contracts.
Equalization reserves The equalization reserves are amounts of reserves provided for by the regulations in order to offset the fluctuations of the claims rate in the future years or to cover particular risks, and is set aside for contract of the Credit segment and for risks of natural disasters.
Life Business:
Item Valuation Mathematical reserves
The life business technical reserves are calculated on the basis of the pure premiums and actuarial assumptions deemed to be appropriate as at the date when contracts were signed. Calculation of technical reserves is based on the rate of return determined on the basis of the related investments for respective ‘‘revaluable’’ benefits. The premiums-carried-forward component of mathematical reserves is calculated on a pure-premium basis. The mathematical reserve is never lower than surrender value.
Complementary insurance premium reserves
The premium reserve for complementary accident insurance is calculated analytically by applying the premiums-brought-forward criterion to the related pure premiums.
Profit participation and reversal reserves
Profit participation includes all amounts pertaining to the year, paid and to be paid to policyholders or other beneficiaries, including amounts used to increase technical reserves or reduce future premiums, as long as they constitute distribution of technical profits arising from non-life and life insurance activities, after deduction of amounts accrued in previous years’ that are no longer necessary. Reversals consist of the amounts that are partial rebates of premiums made on the basis of each contract’s performance.
Other technical reserves
The other reserves include the reserve for management expenses, calculated on loading for management expenses and on the other technical bases of the insurance pricing applied.
Reserves relating to contracts whose performance is connected with investment funds or and market units and resulting from the management of pension funds
The reserves relating to unit-linked contracts and pension funds were calculated based on the contractual obligations, both of the financial assets linked to these contracts and cover the commitments from Life Business insurance whose return is determined based on the investments for which the policyholder bears the risk or based on an unit.
63
Additional reserves for financial risk
Reserve for guaranteed interest rate risk: the assessment about the accrual of this reserve was made for segregated funds deemed significant and, starting from the determination of predictable returns for each of them, using ALM methodology. With regard to contracts with collateral not linked to segregated funds, the valuation was carried out by applying to the flows of liabilities a current and predictable yield calculated as a weighted average of the returns of the various segregated funds. Reserve for time mismatch: this reserve is set up when there is a temporal distance between the period in which the contractually recognized return has accrued and the time when this is effectively recognized to policyholders; this derives from contractual conditions that require the use of certified rates in periods prior to recognition.
Additional reserves other than reserves for financial risk
Reserve for demographic risk: the valuation of this amount was made by proceeding with the recalculation for each technical provisions contract using the IPS55 demographic base and considering the difference compared to the first-order technical reserves. The additional reserve for each contract was therefore calculated by applying to the annuity rates the coefficients of propensity to liquidate the contract in the form of an annuity and to the capital rates the conversion coefficients of capital into annuity. For the forms of life annuities in disbursement present in the portfolio on the date an additional reserve was assessed to adapt these mathematical reserves to the second-order demographic base.
Quantitative differences between valuation for Solvency purposes and balance sheet values
Technical provisions - health (similar to non-life) 52,599 83,824 (31,225)
Best Estimate 48,270 83,824 (35,554) Risk margin 4,329 - 4,329
The difference between the Solvency II valuation and the individual balance sheet values of non-life technical reserves is due to the different nature of valuations:: In particular:
- As for the premium component, the reserve, valued according to the Best Estimate, represents an estimate of the financial flows expected for the future years on existing contracts. This estimate is made by separately assessing claims and premiums expected on these contracts starting from the year after the valuation date. But the Local premium reserve is calculated starting from the linear rediscount of the premium portion of these contracts.
- As for the claim component, the Best Estimate valuation is without prudential rules that are considered in Local valuations.
Moreover, for both components the expected future flows are discounted using the Risk Free curve plus the Volatility Adjustment.
64
(€/000)
Technical provisions - non-life Solvency
II value
Statutory accounts
value Change
Premium reserve:pro-rata temporis basis and additional reserves
308,299 404,550
(96,252) Premium best Estimate Claims reserve *
1,062,518 1,123,604
(61,086) Claims best Estimate Other technical reserves (aging reserve) 409 (409) Equalisation reserves 6,922 (6,922)
Risk Margin 62,549 62,549
(*) This item is shown net of "Receivables due from policyholders and third parties for recoverables" amounting at 31/12/2017 to 24,113 thousand euro.
The Best Estimate of the Premium reserve is lower than 23.8% compared to balance sheet data; similar change in the Claim Reserve is -5.4%. The Risk Margin is 4.6% of the Best Estimate. (€/000)
Item Solvency II
value
Statutory accounts
value Change
Technical provisions - life 1,269,390 1,232,862 36,528
Technical provisions - health (similar to life) 3,088 3,281 (193) Best Estimate 3.088 3,281 (193) Risk margin - - - Technical provisions ----- life (excluding health and index- linked and unit-linked)
1,198,793 1,153,354 45,439
Best Estimate 1,184,538 1,153,354 31,184 Risk margin 14,255 - 14,255
Technical provisions ----- index-linked and unit-linked 67,509 76,227 (8,718)
Best Estimate 67,123 76,227 (9,104) Risk margin 386 - 386
The difference between the Solvency II valuation and the balance sheet values of the technical reserves is mainly due to the methods of estimate, projection and discount of the expected financial flows, as further specified:
- Projection of revaluations of benefits of the revaluable policies based on the vector of ‘‘risk neutral’’ expected rates, that do not include the extra-return arising from holding financial instruments with expected returns that are higher than the risk-free curve, rather than being based on a vector of ‘‘real world’’ expected rates;
- Usage, in Solvency II, of technical bases of second level instead of first level (demographic tables, assumptions of behaviors of policyholders, costs of portfolio management etc.);
- Discounting of future benefits as calculated with Volatility Adjustment curve, significantly lower than
the technical rates used for the related discounting for balance sheet purposes.
65
Within the valuation of Life technical reserves, the Company determined future returns based on existing portfolio as of the valuation date giving to assets of future acquisition, a profitability in line with the risk-free interest rate curve notified by EIOPA. No operations aimed at sharing theoretical risk market losses among Life policyholders have been assumed. Using the Risk Free curve without the Volatility Adjustment, the values would be the following: Life technical reserves: 1,272,678 thousand euro Non-life technical reserves: 1,435,255 thousand euro Net differed tax assets: 4,672 thousand euro
D.3 Other liabilities
A. Reserves other than technical reserves The item includes the funds for future risks and expenses set aside to cover expenses arising from potential actions to void in bankruptcy, penalties and ongoing legal actions, relating to normal business operations. The assessment is carried out in accordance with Article 75 of the Decree, and their value coincides with that of the individual financial statements. B. Pension liabilities The item refers to the amounts due to the employees, that consist of the Supplementary Pension at the nominal value in the balance sheet, and of the following items, valued with actuarial techniques for Solvency II purposes:
- Supplementary Pension - Post-employment benefits - Other long-term benefits
The main assumptions adopted for actuarial assessments were the following: Demographic assumptions
- probability of death: assumptions determined by the General Accounting Office of Italy and identified as RG48, for males and females;
- probability of disability: separate assumptions by sex adopted by INPS (Italian social security institute) for projections in 2010;
- retiring age: for the generic active individual, the first opportunity as per the mandatory state national insurance conditions was assumed;
- probability of abandoning active work for causes other than death: annual frequency of 2.50%; - probability of anticipation: 3.50% year after year.
Reinsurance payables 8,676 - - 8,676 Payables trade - not insurance and other liabilities 90,895 - - 90,895
Total Other liabilities 165,979 - 87,132 253,111
(€/000)
66
Economic and financial assumptions - Inflation: 1.50% - Annual technical discounting rate 1.30% - Annual rate of severance payment increase 2.63% - Annual rate of growth of remuneration
(for the purpose of calculating seniority services) 2.50% - Annual rate of growth of the average reimbursement (for the purpose of calculating health services) 1.50% Sensitivity analysis of some input has been carried out (discounting rate, inflation rate and turnover rate); from these analysis no significant changes have been reported. C. Payables Payables (to insurers, to reinsurers, tax due, payables to employees, social security payables and trade payables) and the other liabilities (commissions to be paid on the bonus being collected and provisions for agency awards and balance of the liaison account between Life and Non-life business) are valued in compliance with 75 of the Decree, and their value coincides with the individual balance sheet value.
D. Deferred tax liabilities The item refers to deferred tax liabilities detected in the balance sheet, supplemented with the differences arising from the Local GAAP values and Solvency II values. The method is the same outlined above, in relation to deferred tax assets. E. Contingent and financial liabilities There are no significant contingent liabilities or financial and operating leases. There are no potential liabilities, nor financial or operating leases.
D.4 Alternative methods for valuation No alternative methods for valuation have been used in addition to what is outlined in the previous paragraphs.
D.5 Other information There are no information to be reported.
67
E. Capital Management
E.1 Own funds
E1.1 Eligible own funds as at 31 December 2017
The following table sums up, separately for each level, the information on the structure, amount and quality of the own funds as at the end of the reference period.
Solvency II excess of assets over liabilities 937,225 833,849 103,376 n.a.
Foreseeable dividends, distributions and charges (18,866) (14,150) (4,717) n.a. Solvency II eligible own funds to meet Solvency Capital Requirement 918,359 819,699 98,660 n.a.
As at 31 December 2017, the Share Capital totally paid up consists of no. 67,378,924 ordinary shares with a par value of Euro 1.00 each, authorized, issued and fully paid-in. The share premium reserve refers to the excess of the issue price of the shares compared to their nominal value. The composition of the reconciliation reserve is shown below:
Solvency II evaluation differences 207,695 168,615 39,081
Reconciliation reserve before dividends 833,389 712,254 121,135
The Earnings-related reserve includes:
- Legal reserve of 12,678 thousand euro; - Available reserve of 519,480 thousand euro; - Year’s earnings of 78,445 thousand euro.
68
The revaluation reserve of 18,193 thousand euro relates to the real-estate revaluations carried out in 2008, pursuant to Article 15 (20) of the Legislative Decree no. 185 of 29 November 2008, and in 2013 pursuant to the Law no. 147/2013; The Own Funds that could be used to cover the capital requirement are made up of the difference between Assets and Liabilities recorded in the Balance Sheet, net of the dividends resolved and not yet distributed.
The table below shows the Tier breakdown of the Own Funds aimed at covering the Solvency Capital Requirement and the Minimum Capital Requirement, calculated by using the Volatility Adjustment curve:
Eligible own funds to meet S.C.R - Volatility Adjustment curve
Total eligible own funds to meet SCR 918,359 819,699 98,660
Total eligible own funds to meet MCR 915,257 798,838 116,419
The eligible amount to cover the MCR is made up of only Tier 1 funds, as envisaged by the regulation. Tier 3 amounts are made up of the balance between deferred tax assets and liabilities.
69
Reconciliation between Shareholders' Equity Local GAAP and Own funds Solvency II Items referring to the difference between the Local GAAP Net Assets and Solvency II Own Funds, are as follows:
Difference between Shareholders' Equity Local GAAP and Own funds Solvency II
(€/000)
31/12/17 31/12/16 Change
A) Shareholders' Equity Local GAAP 729,530 665,234 64,296
Reconciliation reserve: Unrealised capital gains on financial Investments and properties 225,787 210,740 15,047 Intangible assets valued at zero (12,615) (14,524) 1,909 Technical provisions non-life valued at a lower value 102,118 121,103 (18,985) Technical provisions life valued at a higher value (36,528) (86,264) 49,736 Reinsurance recoverables valued at a lower value (15,828) (16,735) 907 Pension benefit obligations (3,893) (4,025) 132 Tax effect (51,346) (41,680) (9,666)
B) Total reconciliation reserve 207,695 168,615 39,080
C) Solvency II excess of assets over liabilities (A+B) 937,225 833,849 103,376
D) Foreseeable dividends, distributions and charges (18,866) (14,150) (4,716)
Solvency II eligible own funds (C+D) 918,359 819,699 98,660
The change in local equity reflects the profit generated during the year, net of the distributed dividend. The reconciliation reserve of 207,695 thousand euro, refers to the differences of valuations gross of the dividends deliberated or expected and includes the tax effect that arises from the recalculation of the deferred tax assets and liabilities carried out on the differences resulting from the local GAAP values and Solvency II values. Reference is made to the chapter: ‘‘D. Valuation for solvency purposes’’, which outlines the differences in the valuation between the standards adopted for the solvency valuation and those used for the balance sheet valuation, specifically for each class of assets or liabilities.
70
Significant chages over the reporting period Change in unrealised capital gains on financial Investments and properties
Change in unrealized gains on financial and real estate investments The change in unrealized gains on financial and real estate investments is mainly explained by increases in value recorded on equity instruments of 24,671 thousand euro. There has been less unrealized gains on bonds (-11,597 thousand euro), which were affected by the rise in the yield curve occurred during the year. Change in Non-Life technical provisions The lower benefit from Non-life technical provisions is due to the worsening of the technical trends, found particularly on Lob: 4 (Motor Third Party Liability), 5 (Other Motor), 7 (Fire and other damage to property).
Significant changes over the reporting period (€/000)
Own funds Solvency II Tier SII
Own funds at 31/12/2016 833,849 n.a.
Foreseeable dividends, distributions and charges (14,150) n.a.
Own funds net of dividends at 31/12/2016 819,699 n.a.
2017 Net profit 78,445 Tier 1
Change in unrealised capital gains on financial Investments and properties
15,047 Tier 1
Change in intangible assets 1,909 Tier 1
Technical provisions non-life valued at a lower value (18,985) Tier 1
Technical provisions life valued at a higher value 49,737 Tier 1
Reinsurance recoverables valued at a lower value 907 Tier 1
Pension benefit obligations 132 Tier 1
Tax effect (9,666) Tier 3
Own funds at 31/12/2017 937,225 n.a.
Foreseeable dividends, distributions and charges (18,866) n.a.
Own funds net of dividends at 31/12/2017 918,359 n.a.
Change in Own Funds 98,660 n.a.
71
Change in Life technical reserves There is a reduction in the negative difference between Life Solvency II reserves and Life Local reserves, due to the joint action of the following sub-factors:
- increase of the discounting curve with the Volatility Adjustment compared to 31/12/2016;
- the effect of the strategy to contain products with revaluable single premiums linked to segregated funds (in addition to the natural expiry of contracts with high guaranteed rates) There was also a gradual run-off of the portfolio on the LOB Other which at 31 December 2017 presents lower Solvency II reserves than Local ones.
72
E1.2 Objectives pursued, policies and processes applied for managing the own funds and time horizon used for business planning The Company manages the capital resources in order to ensure a higher available (current and forward-looking) capital, consistently with the economic capital requirements and to keep a Solvency II Ratio in line with the risk appetite, also on a forward-looking basis. The Capital Management consists of activities and procedures aimed at: - Complying with growth strategies for the internal lines through self-financing of the economic capital
needs, consistently with the objectives established in the strategic plan and in the Risk Appetite Framework;
- Keeping an adequate financial solidity to ensure that current and forward-looking solvency requirements are in line with the risk appetite and with provisions under the strategic plan;
- Ensuring that the Own Fund elements meet on a continuous basis the applicable capital requirements and are properly classified;
- Ensuring that terms and conditions of each element of the Own Funds are clear and unmistakable; - Keeping an adequate level of return on investments; - Identifying and documenting the situations whereby the distributions of an element of the Own Funds
may be reduced or cancelled; - Ensuring that any policy or statement relating to the dividends due for the ordinary shares is taken into
account in terms of capital position; - Ruling the issuance of the elements of the Own Funds according to a Capital Management Plan, if
there is the opportunity, albeit not provided for, to rely on the increase of the Own Funds. As required by the provisions issued by IVASS through the letter to the market issued by IVASS of 15 April 2014, given that the capital management is particularly important in the guidelines established by EIOPA, the Company performs the activities outlined below in order to pursue the preset objectives within this Policy. The Company defined the capital planning process, with the aim of achieving the objectives while keeping the ability to face adverse scenarios, by formalizing, in the capital management policy, methods and instruments, including monitoring and reporting. The outcome of the capital planning process consists of the Capital Management Plan, formalized through specific information flow, including a reliable forecast of the available Own Funds and any new funds, based on the performance of the planned activity, on the future expected profits, the dividend policy and the measures of capital management provided for by the Senior Management.
73
Verification and classification of the Own Funds The Company adopts assessment procedures aimed at ensuring that the elements of the Own Funds, both upon issuance and later, meet the regulatory requirements and that these are properly classified, in order to get a clear and mistakable definition of the Own Funds in terms of subordination, availability, duration, convertibility, constraints etc. Capital monitoring In making assessments of the risk profile on a forward-looking basis and its possible changes, the Company identifies the link between the risk profile and the overall solvency requirements, both in terms of quality and of quantity, and as a result detects any capital shortcomings in relation to the risk level that it aims to take in the medium-long period. In the Capital Management Plan, the capital resources are defined to support the development of the assets, by planning the quantity and the future composition of the Own Funds consistently with the strategic medium-long term approach. Planning is performed with a three-year time horizon. The Plan encompasses the forward-looking indicators relating to the Balance Sheet in order to outline the future trend of the available Own Funds net of any dividends provided for various years, and the future economic flows generated in relation to the activities that will be carried out and the risk objectives defined in the Risk Appetite Framework, by checking that limits and tolerance levels set also on a forward-looking basis are met. The monitoring outcome of these metrics is formalized in the dedicated information flows of ‘‘Monitoring of the Risk Appetite indicators’’. For the preparation of the Capital Management Plan, the Company makes use of methods and tools that enable to project the capital requirement and the own funds in the future years, taken the strategic decisions implemented through the Business Plan data. In the event that the future data showed a capital requirement that is not covered by the self-regulation, the Capital Management Plan would outline any operations of issuance of capital instruments (timing, amounts, types, requests). The adequacy of the capital management plan is verified by significant changes in the risk profile, in line with the circumstances defined in the Risk Assessment Policy (current and forward-looking), such as extraordinary operations (i.e. acquisition/sale of a line of business, or a portfolio of contracts or entering new markets), substantial change of the types of risks insured, events in the economic/financial/real-estate market or macroeconomic scenarios that may have a significant impact on the level of current and/or forward-looking solvency requirements. Within the capital monitoring process, the Company also performs activities of continuous monitoring aimed at checking that the composition of the Own Funds is continuously fulfilled. The Company checks the composition of the Own Funds on a three-month basis, according to quantitative information to be disclosed to the Supervisory Body (Quantitative Reporting Templates --- QRT). In particular, in order to comply with current rules and regulations, the Company performs monitoring activities in terms of level and quality of the Own Funds: - Reconciliation between Solvency II data and Solvency I data, and analyses of change compared to the
annual data and eventually previously quarterly data; - Analysis of the composition of the reconciliation reserve, in terms of difference between the capital
calculated with Solvency II criteria and the balance sheet capital, and analysis of related change compared to the annual data and eventually previously quarterly data;
- Comparison of the Balance Sheet with corresponding Solvency I values of the previous end of the year;
- Tiering of the Own Funds and verification of the adherence of the eligibility percentages defined by law.
74
These assessments are carried out on a quarterly basis and are reported to the Board Committees and the Board of Directors also as supplementary information for the purposes of the approval of the QRTs (Quantitative Report Templates). Management and preservation of adequate capital levels As outlined above, the Company manages its capital resources in order to ensure an available capital (current and forward-looking) that is higher than the economic capital requirement and enable to keep the Solvency II ratio in line with the risk appetite on a forward-looking basis and in any stress scenarios. If, even after forward-looking assessments made, an inadequacy of the available capital funds is to be found, in relation to the limits of risk or the preset performance objectives, the Company shall review the Capital Management Plan and/or Business Plan so as to align the capitalization level to the expected needs. In particular, if a solvency level that is not in line with the preset objectives is to be found, the Company identifies the risk areas/business units that are less efficient in terms of capital absorption and take any corrective actions such as the mitigation, through the reinsurance and the de-risking (asset allocation, product mix, selection of the counterparties with high credit standing) in order to optimize the capital absorbed. The Company usually does not rely on Alternative Risk Transfer (Catastrophe Bonds, Risk Securitization, Derivatives, financial reinsurance) and securitization as corrective measures.. If the Company wants to take direct action on the capitalization level owned, it can avails itself of the following measures:
- Reduction or deletion of the distribution of dividends; - Issuance of subordinated loans; - Capital increases.
75
E.2 Solvency Capital Requirement and Minimum Capital Requirement
As at 31.12.2017, the Solvency Capital Requirement (SCR) accounts for 424,977 thousand euro, while the Minimum Capital Requirement (MCR) accounts for 191,239 thousand euro.
Related composition is as follows:
S.C.R. 31.21.2017 - V.A. scenarios with USP (€/000)
SCR424,977
Basic SCRChange in Technical Reserves
Tax Benefit Change
Operational Risk
487,766 0 (109,585) 46,795
Market Default Life Health Non Life Intangible assets Diversification
Property Default Type 2 Longevity Lapse Early redemption
58,751 26,931 1,613 1,027 481
Spread Diversification Disability Health "life" Catastrophe
100,947 (3,012) 303 0 14,544
-6.3%
Currency LapseHealth
"Catastrophe"Diversification
5,366 9,993 1,147 (11,003)
-4.1%
Interest Expenses Diversification
10,266 6,792 (1,838)
-7.3%
Concentration Revision
16,802 0
Diversification Catastrophe
(56,050) 5,865
-8.1%
Diversification
(11,953) -36.6%
76
As required by law, it should be noted that:
- there are no assessments of the SCT in place by the Supervisory Body; - the Life SCR sub-modules, as well as the Premium and Reserve sub-modules of the Health and Non-
life modules include, among the inputs, the calculation of the technical reserves, for which, some simplifications were used (as detailed in the QRTs S.12.01 and S.17.01)
- the Company uses the Undertaking-specific Parameters (USP) for the calculation of the Premium Risk and the Reserve Risk of the following segments:
MTPL insurance, Motor other classes insurance, GTPL insurance, Income protection insurance and Fire and other damages insurance.
- the Supervisory Body has not required a Capital Add-On to the Company; - inputs used for the MCR calculation, as provided for by the Standard Formula, consist of the preserved
Technical Reserves, the gross Premiums recorded in the year’s accounts, retained Life risk capitals, considering that the MCR must anyway be between the floor, accounting for 25% of the SCR, and the cap, accounting for 45% of the SCR.
The impacts of the use of the Volatility Adjustment curve on the Own Funds and on Solvency Capital Requirement are outlined in the table below:
Impacts of using the Volatility Adjustment curve (€/000)
31/12/2017
Volatility Adjustment
Risk free
Market Risk 317,428 321,040
Counterparty Default Risk 44,500 44,500
Life Underwriting Risk 20,671 21,163
Health underwriting Risk 23,323 23,331
Non-Life underwriting Risk 257,924 258,088
Sum of risk components 663,846 668,123
Diversification effects (176,080) (177,119)
Basic S.C.R. 487,766 491,003
Operational Risk 46,795 46,865
Tax adjustment (109,585) (110,263)
S.C.R. 424,977 427,605
Tier 1 915,257 910,163
Tier 3 3,103 4,672
Eligible own funds to meet Solvency Capital Requirement 918,359 914,836
SOLVENCY II RATIO 216.1% 213.9%
Details on the impact on equity are illustrated in the chapter: "D.2 Technical reserves".
77
E.3 Utilization of the equity risk submodule based on the duration of the calculation of the solvency capital requirement Not applicable.
E.4 Differences between the standard formula and the internal model used Not applicable.
E.5 Non-compliance with the minimum capital requirement and non-compliance with the solvency capital requirement In the reference period, the minimum capital requirement and the solvency capital requirement of the Company have been widely covered by the Own Funds available.
E.6 Other information There are no information to be reported.
78
Annexes: Quantitative reporting templates (data in euro units)
79
Vittoria Assicurazioni S.p.A. S.02.01.02 - Balance sheet
Property, plant & equipment held for own use R0060 123,810,795 Investments (other than assets held for index-linked and unit-linked contracts) R0070 3,210,359,984
Property (other than for own use) R0080 118,031,165 Holdings in related undertakings, including participations R0090 483,789,889 Equities R0100 127,663,670
Collective Investments Undertakings R0180 403,284,676 Derivatives R0190 - Deposits other than cash equivalents R0200 3,000,000 Other investments R0210 -
Assets held for index-linked and unit-linked contracts R0220 76,225,257 Loans and mortgages R0230 21,079,518
Loans on policies R0240 596,007 Loans and mortgages to individuals R0250 4,913,178 Other loans and mortgages R0260 15,570,333
Reinsurance recoverables from: R0270 47,436,337 Non-life and health similar to non-life R0280 48,241,233
Non-life excluding health R0290 47,229,249 Health similar to non-life R0300 1,011,984
Life and health similar to life, excluding health and index-linked and unit-linked R0310 -804,896 Health similar to life R0320 279,130 Life excluding health and index-linked and unit-linked R0330 -1,084,026
Life index-linked and unit-linked R0340 - Deposits to cedants R0350 148,734 Insurance and intermediaries receivables R0360 154,509,945 Reinsurance receivables R0370 3,044,642 Receivables (trade, not insurance) R0380 63,984,131 Own shares (held directly) R0390 - Amounts due in respect of own fund items or initial fund called up but not yet paid in R0400 - Cash and cash equivalents R0410 84,422,343 Any other assets, not elsewhere shown R0420 12,577,528 Total assets R0500 3,893,093,167
80
Vittoria Assicurazioni S.p.A. S.02.01.02 - Balance sheet --- continued
TP calculated as a whole R0530 - Best Estimate R0540 1,322,546,193 Risk margin R0550 58,220,234
Technical provisions - health (similar to non-life) R0560 52,599,561 TP calculated as a whole R0570 - Best Estimate R0580 48,270,475 Risk margin R0590 4,329,086
Technical provisions - life (excluding index-linked and unit-linked) R0600 1,201,880,220 Technical provisions - health (similar to life) R0610 3,087,565
TP calculated as a whole R0620 - Best Estimate R0630 3,087,565 Risk margin R0640 -
Technical provisions – life (excluding health and index-linked and unit-linked) R0650 1,198,792,655 TP calculated as a whole R0660 - Best Estimate R0670 1,184,537,780 Risk margin R0680 14,254,875
Technical provisions – index-linked and unit-linked R0690 67,509,554 TP calculated as a whole R0700 - Best Estimate R0710 67,123,187 Risk margin R0720 386,367
Other technical provisions R0730
Contingent liabilities R0740 - Provisions other than technical provisions R0750 14,489,696 Pension benefit obligations R0760 6,769,012 Deposits from reinsurers R0770 6,418,408 Deferred tax liabilities R0780 92,391,421 Derivatives R0790 - Debts owed to credit institutions R0800 - Financial liabilities other than debts owed to credit institutions R0810 - Insurance & intermediaries payables R0820 33,471,339 Reinsurance payables R0830 8,676,275 Payables (trade, not insurance) R0840 61,440,387 Subordinated liabilities R0850 -
Subordinated liabilities not in basic own funds R0860 - Subordinated liabilities in basic own funds R0870 -
Any other liabilities, not elsewhere shown R0880 29,455,321 Total liabilities R0900 2,955,867,621 Excess of assets over liabilities R1000 937,225,546
81
Vitt
oria
Ass
icur
azio
ni S
.p.A
.
S.0
5.01
.02
- P
rem
ium
s, c
laim
s an
d e
xpen
ses
by
line
of b
usin
ess
Med
ical
ex
pen
se
insu
ranc
e
Inco
me
pro
tect
ion
insu
ranc
e
Wor
kers
' co
mp
ensa
tion
insu
ranc
e
Mot
or v
ehic
le
liab
ility
in
sura
nce
Oth
er m
otor
in
sura
nce
Mar
ine,
av
iatio
n an
d
tran
spor
t in
sura
nce
Fire
and
oth
er
dam
age
to
pro
per
ty
insu
ranc
e
Gen
eral
lia
bili
ty
insu
ranc
e
Cre
dit
and
su
rety
ship
in
sura
nce
Leg
al
exp
ense
s in
sura
nce
Ass
ista
nce
Mis
cella
neou
s fin
anci
al lo
ssH
ealth
Cas
ualty
Mar
ine,
av
iatio
n,
tran
spor
tP
rop
erty
C0
01
0C
00
20
C0
03
0C
00
40
C0
05
0C
00
60
C0
07
0C
00
80
C0
09
0C
01
00
C0
11
0C
01
20
C0
13
0C
01
40
C0
15
0C
01
60
C0
20
0
Pre
miu
ms
wri
tte
n
Gro
ss -
Dire
ct B
usin
ess
R0
11
017
,407
,320
87,2
50,3
42-
666,
699,
971
125,
329,
219
3,97
3,58
910
5,56
2,86
257
,826
,854
3,92
5,44
35,
481,
406
26,3
89,3
8148
,225
,670
1,14
8,07
2,05
8
Gro
ss -
Pro
por
tiona
l rei
nsur
ance
acc
epte
d
R0
12
029
352
3-
18-
178
1,86
281
,306
-
-
17,0
64-
101,
245
Gro
ss -
Non
-pro
por
tiona
l rei
nsur
ance
acc
epte
d
R0
13
0-
-
-
-
-
Rei
nsur
ers'
sha
reR
01
40
75,6
8342
8,86
9-
1,17
6,42
33,
204,
149
167,
955
14,1
72,7
4068
0,07
82,
261,
307
3,90
0,34
810
,608
,457
53,0
09-
-
-
-
36
,729
,017
Net
R0
20
017
,331
,930
86,8
21,9
96-
665,
523,
567
122,
125,
070
3,80
5,81
191
,391
,984
57,2
28,0
831,
664,
136
1,58
1,05
815
,797
,988
48,1
72,6
61-
-
-
-
1,
111,
444,
285
Pre
miu
ms
ea
rne
d
Gro
ss -
Dire
ct B
usin
ess
R0
21
016
,620
,124
85,0
71,4
84-
653,
898,
978
120,
425,
193
3,76
9,60
310
4,10
5,18
155
,412
,290
16,7
48,3
385,
250,
757
25,6
47,4
8650
,805
,104
1,13
7,75
4,53
8
Gro
ss -
Pro
por
tiona
l rei
nsur
ance
acc
epte
d
R0
22
029
352
3-
23-
178
1,81
987
,750
-
-
17,1
41-
107,
726
Gro
ss -
Non
-pro
por
tiona
l rei
nsur
ance
acc
epte
d
R0
23
0-
-
-
-
-
Rei
nsur
ers'
sha
reR
02
40
82,5
7346
7,91
3-
1,17
7,42
53,
208,
332
168,
043
14,2
64,3
9574
0,40
55,
757,
286
3,80
6,65
510
,782
,679
59,9
72-
-
-
-
40
,515
,680
Net
R0
30
016
,537
,844
84,6
04,0
94-
652,
721,
576
117,
216,
860
3,60
1,73
789
,842
,605
54,7
59,6
3410
,991
,052
1,44
4,10
214
,881
,947
50,7
45,1
32-
-
-
-
1,
097,
346,
585
Cla
ims
inc
urr
ed
Gro
ss -
Dire
ct B
usin
ess
R0
31
07,
709,
110
28,5
14,1
7949
5,81
7,12
965
,709
,467
1,93
8,66
169
,330
,257
27,3
68,5
7914
,569
,570
329,
180
7,41
1,13
11,
122,
326
719,
819,
589
Gro
ss -
Pro
por
tiona
l rei
nsur
ance
acc
epte
d
R0
32
0-
-
-
-
-
-
-
-
-
-
-
-
-
Gro
ss -
Non
-pro
por
tiona
l rei
nsur
ance
acc
epte
d
R0
33
0-
-
-
-
-
Rei
nsur
ers'
sha
reR
03
40
78,7
4444
6,21
9-
-
5,
687,
099
-
20
,436
,194
45,7
915,
736,
461
172,
239
8,20
5,56
339
,409
-
-
-
-
40,8
47,7
18
Net
R0
40
07,
630,
365
28,0
67,9
61-
495,
817,
129
60,0
22,3
681,
938,
661
48,8
94,0
6427
,322
,788
8,83
3,10
915
6,94
1-7
94,4
311,
082,
918
-
-
-
-
678,
971,
871
Ch
an
ge
s in
oth
er
tec
hn
ica
l pro
visi
on
s
Gro
ss -
Dire
ct B
usin
ess
R0
41
0-
-
-
-
37
5,99
05,
177
233,
194
-
-
-
-
-
61
4,36
1
Gro
ss -
Pro
por
tiona
l rei
nsur
ance
acc
epte
dR
04
20
-
-
-
-
-
-
-
-
-
-
-
-
-
Gro
ss -
Non
- p
rop
ortio
nal r
eins
uran
ce a
ccep
ted
R0
43
0-
-
-
-
-
Rei
nsur
ers'
sha
reR
04
40
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
Net
R0
50
0-
-
-
-
37
5,99
05,
177
233,
194
-
-
-
-
-
-
-
-
-
61
4,36
1
Exp
en
ses
inc
urr
ed
R0
55
06,
019,
188
32,0
47,4
78-
164,
929,
604
41,3
50,5
241,
273,
692
39,1
52,4
6621
,302
,572
2,49
7,95
0-8
39,4
0611
,572
,734
14,3
30,6
34-
-
-
-
33
3,63
7,43
5
Oth
er
exp
en
ses
R1
20
09,
380,
702
To
tal e
xpe
nse
sR
13
00
343,
018,
137
Line
of
Bus
ines
s fo
r: n
on
-life
insu
ran
ce
an
d r
ein
sura
nc
e o
blig
atio
ns
(dir
ec
t b
usi
ne
ss a
nd
ac
ce
pte
d p
rop
ort
ion
al r
ein
sura
nc
e)
Line
of
Bus
ines
s fo
r:a
cc
ep
ted
no
n-p
rop
ort
ion
al r
ein
sura
nc
e
Tota
l
82
Vitt
oria
Ass
icur
azio
ni S
.p.A
.
S.0
5.01
.02
- P
rem
ium
s, c
laim
s an
d e
xpen
ses
by
line
of b
usin
ess
--- co
ntin
ued
Tota
l
Hea
lth
insu
ranc
e
Insu
ranc
e w
ith
pro
fit
par
ticip
atio
n
Ind
ex-li
nked
an
d u
nit-
linke
d
insu
ranc
e
Oth
er li
fe
insu
ranc
e
Ann
uitie
s st
emm
ing
fr
om n
on-li
fe
insu
ranc
e co
ntra
cts
and
re
latin
g t
o he
alth
in
sura
nce
oblig
atio
ns
Ann
uitie
s st
emm
ing
fr
om n
on-li
fe
insu
ranc
e co
ntra
cts
and
re
latin
g t
o in
sura
nce
oblig
atio
ns
othe
r th
an
heal
th
insu
ranc
e ob
ligat
ions
Hea
lth
rein
sura
nce
Life
re
insu
ranc
e
C0
21
0C
02
20
C0
23
0C
02
40
C0
25
0C
02
60
C0
27
0C
02
80
C0
30
0P
rem
ium
s w
ritt
en
Gro
ssR
14
10
985,
773
160,
980,
281
17,9
65,2
9911
,212
,771
-
-
-
-
191,
144,
124
Rei
nsur
ers'
sha
reR
14
20
649,
065
-
-
507,
646
-
-
-
-
1,15
6,71
1 N
etR
15
00
336,
708
160,
980,
281
17,9
65,2
9910
,705
,125
-
-
-
-
189,
987,
413
Pre
miu
ms
ea
rne
d G
ross
R1
51
0-
-
-
-
-
-
-
-
-
Rei
nsur
ers'
sha
reR
15
20
-
-
-
-
-
-
-
-
-
N
etR
16
00
-
-
-
-
-
-
-
-
-
C
laim
s in
cu
rre
d G
ross
R1
61
032
, 194
98,9
84,9
952,
069,
326
13,7
29,9
14-
-
-
-
11
4,81
6,42
9 R
eins
urer
s' s
hare
R1
62
010
,717
5,33
0,16
3-
2,30
4,21
1-
-
-
-
7,
645,
091
Net
R1
70
021
,477
93,6
54,8
322,
069,
326
11,4
25,7
03-
-
-
-
10
7,17
1,33
8C
ha
ng
es
in o
the
r te
ch
nic
al p
rovi
sio
ns
Gro
ssR
17
10
-
-
-
-
-
-
-
-
-
R
eins
urer
s' s
hare
R1
72
0-
-
-
-
-
-
-
-
-
Net
R1
80
0-
-
-
-
-
-
-
-
-
Exp
en
ses
inc
urr
ed
R1
90
0-1
11,5
3414
,130
,578
631,
611
395,
321
-
-
-
-
15,0
45,9
76O
the
r e
xpe
nse
sR
25
00
718,
568
To
tal e
xpe
nse
sR
26
00
15,7
64,5
44
Line
of
Bus
ines
s fo
r: li
fe in
sura
nc
e o
blig
atio
ns
Life
re
insu
ran
ce
o
blig
atio
ns
83
Vittoria Assicurazioni S.p.A. S.05.02.01 Premiums, claims and expenses by country
Home CountryTotal Top 5 and home
country
C0010 C0070R0010
C0080 C0140Premiums written Gross - Direct Business R0110 1,148,072,058 1,148,072,058 Gross - Proportional reinsurance accepted R0120 - - Gross - Non-proportional reinsurance accepted R0130 - - Reinsurers' share R0140 16,938,598 16,938,598 Net R0200 1,131,133,460 1,131,133,460 Premiums earned Gross - Direct Business R0210 1,137,754,538 1,137,754,538 Gross - Proportional reinsurance accepted R0220 - - Gross - Non-proportional reinsurance accepted R0230 - - Reinsurers' share R0240 20,572,167 20,572,167 Net R0300 1,117,182,370 1,117,182,370 Claims incurred Gross - Direct Business R0310 719,819,589 719,819,589 Gross - Proportional reinsurance accepted R0320 - - Gross - Non-proportional reinsurance accepted R0330 - - Reinsurers' share R0340 26,697,618 26,697,618 Net R0400 693,121,971 693,121,971 Changes in other technical provisions Gross - Direct Business R0410 614,361 614,361 Gross - Proportional reinsurance accepted R0420 - - Gross - Non- proportional reinsurance accepted R0430 - - Reinsurers' share R0440 - - Net R0500 614,361 614,361 Expenses incurred R0550 336,233,146 336,233,146 Other expenses R1200 9,380,702 Total expenses R1300 345,613,848
Home CountryTotal Top 5 and home
countryC0210
R1400C0280
Premiums written Gross R1410 191,144,124 191,144,124 Reinsurers' share R1420 - - Net R1500 191,144,124 191,144,124 Premiums earned Gross R1510 - - Reinsurers' share R1520 - - Net R1600 - - Claims incurred Gross R1610 114,816,429 114,816,429 Reinsurers' share R1620 - - Net R1700 114,816,429 114,816,429 Changes in other technical provisions Gross R1710 - - Reinsurers' share R1720 - - Net R1800 - - Expenses incurred R1900 15,243,228 15,243,228 Other expenses R2500 718,568 Total expenses R2600 15,961,796
84
Vitt
oria
Ass
icur
azio
ni S
.p.A
.
S.1
2.01
.02
Life
and
Hea
lth S
LT T
echn
ical
Pro
visi
ons
Contr
acts
witho
ut op
tions
and
guara
ntees
Contr
acts
with
optio
ns or
gu
arante
es
Contr
acts
witho
ut op
tions
and
guara
ntees
Contr
acts
with
optio
ns or
gu
arante
es
Contr
acts
witho
ut op
tions
and
guara
ntees
Contr
acts
with
optio
ns or
gu
arante
es
C002
0C0
030
C004
0C0
050
C006
0C0
070
C008
0C0
090
C010
0C0
150
C016
0C0
170
C018
0C0
190
C020
0C0
210
Tech
nical
prov
ision
s calc
ulate
d as
a w
hole
R001
0-
-
-
-
-
-
-
-
-
-
To
tal R
ecov
erable
s from
reins
uranc
e/SPV
and
Finite
Re a
fter t
he
adjus
tmen
t for
expe
cted
losse
s due
to co
unter
party
defa
ult
asso
ciated
to TP
as a
whole
R002
0-
-
-
-
-
-
-
-
-
-
Tech
nical
prov
ision
s calc
ulate
d as
a su
m of
BE
and
RM
Best
Estim
ate
Gros
s Bes
t Esti
mate
R003
0 1
,159,1
87,29
4
-
67,12
3,187
-
25
,350,4
85
-
-
1,25
1,660
,966
-
3
,087,5
64
-
-
3,08
7,564
To
tal R
ecov
erable
s from
reins
uranc
e/SPV
and
Finite
Re a
fter t
he
adjus
tmen
t for
expe
cted
losse
s due
to co
unter
party
defa
ultR0
080
28,80
1
-
-
-
-
1,11
2,829
-
-
-
1
,084,0
28
-
2
79,13
0
-
-
2
79,13
0 Be
st es
timate
minu
s rec
overa
bles f
rom re
insura
nce/S
PV an
d Fin
ite R
e - to
talR0
090
1,15
9,158
,493
-
67
,123,1
87
-
26,46
3,314
-
-
1
,252,7
44,99
4
-
2,80
8,434
-
-
2
,808,4
34
Risk
Mar
ginR0
100
7,67
6,318
386
,367
6
,578,5
58
-
-
14,64
1,243
0
-
-
0Am
ount
of t
he tr
ansit
ional
on T
echn
ical P
rovis
ions
Tech
nical
Prov
ision
s calc
ulated
as a
whole
R011
0-
-
-
-
-
-
-
-
-
-
Be
st es
timate
R0
120
-
-
-
-
-
-
-
-
-
-
-
-
-
Risk
marg
inR0
130
-
-
-
-
-
-
-
-
-
-
Tech
nical
prov
ision
s - to
tal
R020
0 1
,166,8
63,61
2
67,50
9,554
31
,929,0
43
-
-
1,26
6,302
,209
3,
087,5
64
-
-
3,08
7,564
Healt
h ins
uranc
e (dir
ect b
usine
ss)
Annu
ities
stemm
ing fr
om
non-l
ife in
suran
ce
contr
acts
and
relati
ng to
healt
h ins
uranc
e ob
ligati
ons
Healt
h rei
nsura
nce
(reins
uranc
e ac
cept
ed)
Tota
l (He
alth
simila
r to
life
insur
ance
)
Tota
l (Lif
e ot
her
than
hea
lth
insur
ance
, incl.
Un
it-Lin
ked)
Insura
nce w
ith
profi
t pa
rticipa
tion
Index
-linke
d an
d un
it-link
ed in
suran
ceOt
her li
fe ins
uranc
eAn
nuitie
s ste
mming
from
no
n-life
insu
rance
co
ntrac
ts an
d rel
ating
to
insura
nce
oblig
ation
othe
r t h a
n hea
lth
insura
nce
oblig
ation
s
Acce
pted
rei
nsura
nce
85
Vitt
oria
Ass
icur
azio
ni S
.p.A
.
S.1
7.01
.02
Non
-life
Tec
hnic
al P
rovi
sion
s
Med
ical
exp
ense
in
sura
nce
Inco
me
prot
ecti
onin
sura
nce
Wor
ker
s'
com
pen
sati
on
insu
ran
ce
Mot
or v
ehic
le
liab
ilit
y in
sura
nce
Oth
er m
otor
in
sura
nce
Mar
ine,
avi
atio
n a
nd
tran
spor
t in
sura
nce
Fir
e an
d ot
her
da
mag
e to
pro
pert
y in
sura
nce
Gen
eral
lia
bili
ty
insu
ran
ceC
redi
t an
d su
rety
ship
in
sura
nce
Leg
al e
xpen
ses
insu
ran
ceA
ssis
tan
ceM
isce
llan
eou
s fi
nan
cial
los
sN
on-p
ropo
rtio
nal
h
ealt
h r
ein
sura
nce
Non
-pro
port
ion
al
casu
alty
rei
nsu
ran
ce
Non
-pro
port
ion
al
mar
ine,
avi
atio
n a
nd
tran
spor
t re
insu
ran
ce
Non
-pro
port
ion
al
prop
erty
rei
nsu
ran
ce
C0020
C0030
C0040
C0050
C0060
C0070
C0080
C0090
C0100
C0110
C0120
C0130
C0140
C0150
C0160
C0170
C0180
Tec
hn
ical
pro
visi
ons
calc
ula
ted
as a
wh
ole
R00
10-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
Tot
al R
ecov
erab
les
from
rei
nsur
ance
/SP
V a
nd F
init
e R
e af
ter
the
adju
stm
ent
for
exp
ecte
d lo
sses
due
to
coun
terp
arty
def
ault
ass
ocia
ted
to T
P c
alcu
late
d as
a w
hole
R00
50-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
Tec
hn
ical
pro
visi
ons
calc
ula
ted
as a
su
m o
f B
E a
nd
RM
Bes
t es
tim
ate
Pre
miu
m p
rovi
sion
s
Gro
ssR
0060
1,477,977
8,381,795
-
205,994,650
31,545,451
941,050
36,429,147
12,705,616
12,249,191
(398,895)
3,670,536
(4,697,902)
-
-
-
-
308,298,616
Tot
al r
ecov
erab
le f
rom
rei
nsur
ance
/SP
V a
nd F
init
e R
e af
ter
the
adju
stm
ent
for
exp
ecte
d lo
sses
due
to
coun
terp
arty
def
ault
R01
40(11,869)
(31,158)
-
‐
3,217
(746)
1,175,603
329,390
4,874,908
(181,304)
1,717,099
(699)
-
-
-
-
7,874,441
Net
Bes
t E
stim
ate
of P
rem
ium
Pro
visi
ons
R01
501,489,846
8,412,953
-
205,994,650
31,542,234
941,797
35,253,545
12,376,226
7,374,283
(217,591)
1,953,436
(4,697,203)
-
-
-
-
300,424,177
Cla
ims
prov
isio
ns
Gro
ssR
0160
4,796,344
33,614,359
-
780,822,458
27,182,375
6,665,105
36,463,577
117,845,507
48,280,140
1,096,045
3,520,459
2,231,682
-
-
-
-
1,062,518,051
Tot
al r
ecov
erab
le f
rom
rei
nsur
ance
/SP
V a
nd F
init
e R
e af
ter
the
adju
stm
ent
for
exp
ecte
d lo
sses
due
to
coun
terp
arty
def
ault
R02
40101,810
953,201
-
245,140
3,299,962
2,993,625
4,840,368
3,280,780
20,577,128
947,127
3,069,934
57,717
-
-
-
-
40,366,793
Net
Bes
t E
stim
ate
of C
laim
s P
rovi
sion
sR
0250
4,694,535
32,661,158
-
780,577,318
23,882,413
3,671,480
31,623,208
114,564,726
27,703,013
148,917
450,524
2,173,965
-
-
-
-
1,022,151,258
Tot
al B
est
esti
mat
e -
gros
sR
0260
6,274,321
41,996,154
-
986,817,109
58,727,827
7,606,155
72,892,724
130,551,123
60,529,331
697,150
7,190,994
(2,466,220)
-
-
-
-
1,370,816,668
Tot
al B
est
esti
mat
e -
net
R02
706,184,381
41,074,111
-
986,571,969
55,424,647
4,613,277
66,876,753
126,940,953
35,077,296
(68,673)
2,403,961
(2,523,238)
-
-
-
-
1,322,575,435
Ris
k m
argi
nR
0280
648,131
3,680,955
-
34,857,657
5,185,225
463,731
3,942,779
5,385,028
3,723,206
80,535
752,930
3,829,143
-
-
-
-
62,549,321
Am
oun
t of
th
e tr
ansi
tion
al o
n T
ech
nic
al P
rovi
sion
s
Tec
hnic
al P
rovi
sion
s ca
lcul
ated
as
a w
hole
R02
90-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
Bes
t es
tim
ate
R03
00-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
Ris
k m
argi
nR
0310
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
T
ech
nic
al p
rovi
sion
s -
tota
l
Tec
hnic
al p
rovi
sion
s -
tota
lR
0320
6,922,453
45,677,109
‐
1,021,674,765
63,913,052
8,069,886
76,835,504
135,936,151
64,252,537
777,685
7,943,924
1,362,923
-
-
-
-
1,433,365,989
Rec
over
able
fro
m r
eins
uran
ce c
ontr
act/
SPV
and
Fin
ite
Re
afte
r th
e ad
just
men
t fo
r ex
pec
ted
loss
es d
ue t
o co
unte
rpar
ty d
efau
lt -
tot
alR
0330
89,940
922,044
‐
245,140
3,303,180
2,992,878
6,015,971
3,610,170
25,452,036
765,823
4,787,033
57,018
-
-
-
-
48,241,234
Tec
hnic
al p
rovi
sion
s m
inus
rec
over
able
s fr
om r
eins
uran
ce/S
PV
and
Fin
ite
Re
- to
tal
R03
406,832,512
44,755,066
‐
1,021,429,625
60,609,872
5,077,008
70,819,533
132,325,980
38,800,502
11,862
3,156,891
1,305,905
-
-
-
-
1,385,124,755
Dir
ect
busi
nes
s an
d ac
cept
ed p
ropo
rtio
nal
rei
nsu
ran
ceA
ccep
ted
non
-pro
port
ion
al r
ein
sura
nce
Tot
al N
on-L
ife
obli
gati
on
86
Vitt
oria
Ass
icur
azio
ni S
.p.A
.
S.1
9.01
.21
Non
-life
insu
ranc
e cl
aim
s
N
on
-life
insu
ran
ce
cla
ims
Z0
01
01
Gro
ss C
laim
s P
aid
(n
on
-cu
mu
lativ
e)
(ab
solu
te a
mou
nt)
Ye
ar
01
23
45
67
89
10
& +
C0
01
0C
00
20
C0
03
0C
00
40
C0
05
0C
00
60
C0
07
0C
00
80
C0
09
0C
01
00
C0
11
0C
01
70
C0
18
0P
rio
rR
01
00
-
R
01
00
-
-
N-9
R0
16
016
2,58
2,36
3
106,
867,
886
28
,320
,567
14,0
40,8
90
13,3
33,5
66
7,16
2,89
9
4,
107,
637
4,09
7,03
9
1,
600,
815
5,60
7,31
0
R
01
60
5,60
7,31
0
34
7,72
0,96
7
N-8
R0
17
017
4,59
9,84
8
109,
695,
691
35
,915
,922
19,0
99,2
69
12,3
26,9
66
17,7
89,5
82
10,1
15,4
51
4,79
2,85
6
2,
361,
965
R0
17
02,
361,
965
386,
697,
548
N
-7R
01
80
190,
114,
660
13
0,51
9,42
2
38,8
74,7
26
13
,847
,945
9,
944,
660
7,74
8,28
5
8,
296,
362
9,17
4,21
9
R
01
80
9,17
4,21
9
40
8,52
0,28
1
N-6
R0
19
020
5,96
6,37
6
138,
929,
702
41
,531
,707
24,6
01,1
95
15,8
02,9
18
11,8
42,2
32
10,0
08,3
40
R0
19
010
,008
,340
44
8,68
2,46
9
N-5
R0
20
021
2,88
6,63
4
139,
676,
791
48
,287
,598
24,0
05,7
11
17,4
68,9
24
15,0
05,4
87
R0
20
015
,005
,487
45
7,33
1,14
0
N-4
R0
21
023
4,08
6,31
1
155,
690,
450
52
,200
,012
21,9
89,2
85
14,6
75,2
81
R0
21
014
,675
,281
47
8,64
1,33
7
N-3
R0
22
025
0,57
0,54
5
165,
896,
578
50
,084
,117
16,5
52,8
73
R0
22
016
,552
,873
48
3,10
4,10
8
N-2
R0
23
027
7,28
6,31
2
176,
970,
774
57
,553
,594
R0
23
057
,553
,594
51
1,81
0,67
9
N-1
R0
24
029
3,80
5,32
8
197,
887,
411
R
02
40
197,
887,
411
491,
692,
740
N
R0
25
034
9,20
0,40
4
R0
25
034
9,20
0,40
4
34
9,20
0,40
4
To
tal
R0
26
067
8,02
6,88
5
4,
363,
401,
675
G
ross
un
dis
co
un
ted
Be
st E
stim
ate
Cla
ims
Pro
visi
on
s(a
bso
lute
am
ount
)
Ye
ar
01
23
45
67
89
10
& +
C0
20
0C
02
10
C0
22
0C
02
30
C0
24
0C
02
50
C0
26
0C
02
70
C0
28
0C
02
90
C0
30
0C
03
60
Pri
or
R0
10
07,
879,
687
R
01
00
7,79
0,88
6
N
-9R
01
60
-
-
-
-
-
-
-
-
15
,551
,588
11
,796
,253
R
01
60
11,6
80,9
95
N-8
R0
17
0-
-
-
-
-
-
-
27,1
54,1
76
25,5
46,4
89
R0
17
025
,347
,914
N
-7R
01
80
-
-
-
-
-
-
26
,884
,898
18
,946
,553
R
01
80
18,7
59,5
81
N-6
R0
19
0-
-
-
-
-
52,7
02,9
00
37,9
37,4
73
R0
19
037
,515
,323
N
-5R
02
00
-
-
-
-
71
,139
,049
52
,104
,410
R
02
00
51,4
91,0
09
N-4
R0
21
0-
-
-
99,5
73,5
56
80,0
73,4
86
R0
21
079
,065
,898
N
-3R
02
20
-
-
124,
434,
726
91
,360
,045
R
02
20
90,0
14,3
78
N-2
R0
23
0-
201,
501,
933
13
9,80
3,48
9
R0
23
013
7,59
0,24
5
N
-1R
02
40
402,
751,
117
18
3,90
1,64
6
R0
24
018
1,07
9,18
3
N
R0
25
043
3,81
3,06
8
R0
25
042
9,77
6,98
4
T
ota
lR
02
60
1,09
8,98
1,62
8
Acc
iden
t ye
ar /
U
nder
writ
ing
yea
r
De
velo
pm
en
t ye
ar
In C
urr
en
t ye
ar
Su
m o
f ye
ars
(c
um
ula
tive
)
De
velo
pm
en
t ye
ar
Ye
ar
en
d
(dis
co
un
ted
d
ata
)
87
Vitt
oria
Ass
icur
azio
ni S
.p.A
.
S.2
2.01
.21
Imp
act
of lo
ng t
erm
gua
rant
ees
mea
sure
s an
d t
rans
ition
als
Am
ou
nt
with
Lo
ng
T
erm
Gu
ara
nte
e
me
asu
res
an
d
tra
nsi
tion
als
Imp
ac
t o
f tr
an
sitio
na
l o
n t
ec
hn
ica
l p
rovi
sio
ns
Imp
ac
t o
f tr
an
sitio
na
l on
in
tere
st r
ate
Imp
ac
t o
f vo
latil
ity
ad
just
me
nt
set
to
zero
Imp
ac
t o
f m
atc
hin
g
ad
just
me
nt
set
to
zero
C0
01
0C
00
30
C0
05
0C
00
70
C0
09
0
Tech
nica
l pro
visi
ons
R0
01
02,
702,
755,
762
-
-
5,17
5,74
5-
-
Bas
ic o
wn
fund
sR
00
20
918,
359,
447
-
-
3,
523,
688
-
Elig
ible
ow
n fu
nds
to m
eet
Sol
venc
y C
apita
l Req
uire
men
tR
00
50
918,
359,
447
-
-
3,
523,
688
-
Sol
venc
y C
apita
l Req
uire
men
tR
00
90
424,
976,
542
-
-
2,
628,
551
-
-
Elig
ible
ow
n fu
nds
to m
eet
Min
imum
C
apita
l Req
uire
men
tR
01
00
915,
256,
915
-
-
5,
093,
505
-
Min
imum
Cap
ital R
equi
rem
ent
R0
11
019
1,23
9,44
4
-
-
1,18
2,84
8-
-
88
Vitt
oria
Ass
icur
azio
ni S
.p.A
.
S.2
3.01
.01
Ow
n fu
nds
To
tal
Tie
r 1
- u
nre
stri
cte
d
Tie
r 1
- r
est
ric
ted
T
ier
2T
ier
3
C0
01
0C
00
20
C0
03
0C
00
40
C0
05
0B
asi
c o
wn
fu
nd
s b
efo
re d
ed
uc
tion
fo
r p
art
icip
atio
ns
in o
the
r fin
an
cia
l se
cto
r a
s fo
rese
en
in a
rtic
le 6
8 o
f D
ele
ga
ted
Re
gu
latio
n 2
01
5/3
5O
rdin
ary
shar
e ca
pita
l (g
ross
of
own
shar
es)
R0
01
067
,378
,924
67
,378
,924
-
Sha
re p
rem
ium
acc
ount
rel
ated
to
ord
inar
y sh
are
cap
ital
R0
03
033
,355
,418
33
,355
,418
-
Ii niti
al f
und
s, m
emb
ers'
con
trib
utio
ns o
r th
e eq
uiva
lent
bas
ic o
wn
- fu
nd it
em f
or
mut
ual a
nd m
utua
l-typ
e un
der
taki
ngs
R0
04
0-
-
-
Sub
ord
inat
ed m
utua
l mem
ber
acc
ount
sR
00
50
-
-
-
-
Sur
plu
s fu
nds
R0
07
0-
-
P
refe
renc
e sh
ares
R0
09
0-
-
-
-
S
hare
pre
miu
m a
ccou
nt r
elat
ed t
o p
refe
renc
e sh
ares
R0
11
0-
-
-
-
R
econ
cilia
tion
rese
rve
R0
13
081
4,52
2,57
3
81
4,52
2,57
3
Sub
ord
inat
ed li
abili
ties
R0
14
0-
-
-
-
A
n am
ount
eq
ual t
o th
e va
lue
of n
et d
efer
red
tax
ass
ets
R0
16
03,
102,
532
3,10
2,53
2
Oth
er o
wn
fund
item
s ap
pro
ved
by
the
sup
ervi
sory
aut
horit
y as
bas
ic o
wn
fund
s no
t sp
ecifi
ed a
bov
e R
01
80
-
-
-
-
-
Ow
n f
un
ds
fro
m t
he
fin
an
cia
l sta
tem
en
ts t
ha
t sh
ou
ld n
ot
be
re
pre
sen
ted
by
the
re
co
nc
ilia
tion
re
serv
e a
nd
do
no
t m
ee
t th
e c
rite
ria
to
be
cla
ssifi
ed
as
So
lve
nc
y II
ow
n f
un
ds
Ow
n fu
nds
from
the
fin
anci
al s
tate
men
ts t
hat
shou
ld n
ot b
e re
pre
sent
ed b
y th
e re
conc
iliat
ion
rese
rve
and
do
not
mee
t th
e cr
iteria
to
be
clas
sifie
d a
s S
olve
ncy
II
R0
22
0-
De
du
ctio
ns
Ded
uctio
ns f
or p
artic
ipat
ions
in f
inan
cial
and
cre
dit
inst
itutio
nsR
02
30
-
-
-
-
-
To
tal b
asi
c o
wn
fu
nd
s a
fte
r d
ed
uc
tion
sR
02
90
918,
359,
447
915,
256,
915
-
-
3,
102,
532
A
nc
illa
ry o
wn
fu
nd
sU
n pai
d a
nd u
ncal
led
ord
inar
y sh
are
cap
ital c
alla
ble
on
dem
and
R0
30
0-
U
npai
d a
nd u
ncal
led
initi
al f
und
s, m
emb
ers'
con
trib
utio
ns o
r th
e eq
uiva
lent
bas
ic
own
fund
item
for
mut
ual a
nd m
utua
l - t
ype
und
erta
king
s, c
alla
ble
on
dem
and
R0
31
0-
-
Un p
aid
and
unc
alle
d p
refe
renc
e sh
ares
cal
lab
le o
n d
eman
dR
03
20
-
-
-
A le
gal
ly b
ind
ing
com
mitm
ent
to s
ubsc
ribe
and
pay
for
sub
ord
inat
ed li
abili
ties
on
R0
33
0-
-
-
Le
tter
s of
cre
dit
and
gua
rant
ees
und
er A
rtic
le 9
6(2)
of
the
Dire
ctiv
e 20
09/1
38/E
CR
03
40
-
-
Lett
ers
of c
red
it an
d g
uara
ntee
s ot
her
than
und
er A
rtic
le 9
6(2)
of
the
Dire
ctiv
e R
03
50
-
-
-
Sup
ple
men
tary
mem
ber
s ca
lls u
nder
firs
t su
bp
arag
rap
h of
Art
icle
96(
3) o
f th
e D
irect
ive
2009
/138
/EC
R0
36
0-
-
Sup
ple
men
tary
mem
ber
s ca
lls -
oth
er t
han
und
er f
irst
sub
par
agra
ph
of A
rtic
le
96(3
) of
the
Dire
ctiv
e 20
09/1
38/E
CR
03
70
-
-
-
Oth
er a
ncill
ary
own
fund
sR
03
90
-
-
-
T
ota
l an
cill
ary
ow
n f
un
ds
R0
40
0-
-
-
89
Vitt
oria
Ass
icur
azio
ni S
.p.A
.
S.2
3.01
.01
Ow
n fu
nds
--- co
ntin
ued
To
tal
Tie
r 1
- u
nre
stri
cte
d
Tie
r 1
- r
est
ric
ted
T
ier
2T
ier
3
C0
01
0C
00
20
C0
03
0C
00
40
C0
05
0A
vaila
ble
an
d e
ligib
le o
wn
fu
nd
sTo
tal a
vaila
ble
ow
n fu
nds
to m
eet
the
SC
RR
05
00
918,
359,
447
91
5,25
6,91
5
-
-
3,10
2,53
2
Tota
l ava
ilab
le o
wn
fund
s to
mee
t th
e M
CR
R0
51
091
5,25
6,91
5
915,
256,
915
-
-
To
tal e
ligib
le o
wn
fund
s to
mee
t th
e S
CR
R0
54
091
8,35
9,44
7
915,
256,
915
-
-
3,
102,
532
To
tal e
ligib
le o
wn
fund
s to
mee
t th
e M
CR
R0
55
091
5,25
6,91
5
915,
256,
915
-
-
S
CR
R0
58
042
4,97
6,54
2
MC
RR
06
00
191,
239,
444
R
atio
of
Elig
ible
ow
n f
un
ds
to S
CR
R0
62
021
6.1%
Ra
tio o
f E
ligib
le o
wn
fu
nd
s to
MC
RR
06
40
478.
6%
C0
06
0R
ec
on
cili
atio
n r
ese
rve
Exc
ess
of a
sset
s ov
er li
abili
ties
R0
70
093
7,22
5,54
6
Ow
n sh
ares
(he
ld d
irect
ly a
nd in
dire
ctly
)R
07
10
Fore
seea
ble
div
iden
ds,
dis
trib
utio
ns a
nd c
harg
esR
07
20
18,8
66,0
99
O
ther
bas
ic o
wn
fund
item
s R
07
30
103,
836,
874
A
dju
stm
ent
for
rest
ricte
d o
wn
fund
item
s in
res
pec
t of
mat
chin
g a
dju
stm
ent
por
tfol
ios
and
rin
g f
ence
d f
und
sR
07
40
Re
co
nc
ilia
tion
re
serv
eR
07
60
814,
522,
573
E
xpe
cte
d p
rofit
sE
xpec
ted
pro
fits
incl
uded
in f
utur
e p
rem
ium
s (E
PIF
P)
- Li
fe b
usin
ess
R0
77
011
,360
,321
Exp
ecte
d p
rofit
s in
clud
ed in
fut
ure
pre
miu
ms
(EP
IFP
) -
Non
- lif
e b
usin
ess
R0
78
024
,531
,512
To
tal E
xpe
cte
d p
rofit
s in
clu
de
d in
fu
ture
pre
miu
ms
(EP
IFP
)R
07
90
35,8
91,8
33
90
Vitt
oria
Ass
icur
azio
ni S
.p.A
.
S.2
5.01
.21
Sol
venc
y C
apita
l Req
uire
men
t -
for
und
erta
king
s on
Sta
ndar
d F
orm
ula
Gro
ss s
olv
en
cy
ca
pita
l re
qu
ire
me
nt
Un
de
rta
kin
g
Sp
ec
ific
P
ara
me
ters
(U
SP
)
Sim
plif
ica
tion
s
C0
11
0C
00
90
C0
10
0M
arke
t ris
kR
00
10
317,
428,
369
Cou
nter
par
ty d
efau
lt ris
kR
00
20
44
,500
,264
Li
fe u
nder
writ
ing
ris
kR
00
30
20
,671
,242
H
ealth
und
erw
ritin
g r
isk
R0
04
0
23,3
22,5
64
Non
-life
und
erw
ritin
g r
isk
R0
05
0
25
7,92
3,99
3 D
iver
sific
atio
nR
00
60
-
176,
079,
952
Inta
ngib
le a
sset
ris
kR
00
70
-
Ba
sic
So
lve
nc
y C
ap
ital R
eq
uir
em
en
tR
01
00
487,
766,
480
Ca
lcu
latio
n o
f S
olv
en
cy
Ca
pita
l Re
qu
ire
me
nt
C0
10
0O
per
atio
nal r
isk
R0
13
0
46,7
95,2
08
Loss
-ab
sorb
ing
cap
acity
of
tech
nica
l pro
visi
ons
R0
14
0
-
Lo
ss-a
bso
rbin
g c
apac
ity o
f d
efer
red
tax
esR
01
50
-
109,
585,
146
Cap
ital r
equi
rem
ent
for
bus
ines
s op
erat
ed in
acc
ord
ance
with
Art
. 4
of D
irect
ive
2003
/41/
EC
R0
16
0
-
So
lve
nc
y C
ap
ital R
eq
uir
em
en
t e
xclu
din
g c
ap
ital a
dd
-on
R0
20
0
42
4,97
6,54
2 C
apita
l ad
d-o
n al
read
y se
tR
02
10
-
So
lve
nc
y c
ap
ital r
eq
uir
em
en
tR
02
20
424,
976,
542
Oth
er
info
rma
tion
on
SC
RC
apita
l req
uire
men
t fo
r d
urat
ion-
bas
ed e
qui
ty r
isk
sub
-mod
ule
R0
40
0
-
To
tal a
mou
nt o
f N
otio
nal S
olve
ncy
Cap
ital R
equi
rem
ents
for
rem
aini
ng p
art
R0
41
0
-
To
tal a
mou
nt o
f N
otio
nal S
olve
ncy
Cap
ital R
equi
rem
ents
for
rin
g f
ence
d f
und
sR
04
20
-
Tota
l am
ount
of
Not
iona
l Sol
venc
y C
apita
l Req
uire
men
ts f
or m
atch
ing
ad
just
men
t p
ortf
olio
sR
04
30
-
Div
ersi
ficat
ion
effe
cts
due
to
RFF
nS
CR
ag
gre
gat
ion
for
artic
le 3
04R
04
40
-
91
Vitt
oria
Ass
icur
azio
ni S
.p.A
.
S.2
8.02
.01
Min
imum
Cap
ital R
equi
rem
ent
- B
oth
life
and
non
-life
insu
ranc
e ac
tivity
Non
-life
ac
tiviti
esLi
fe a
ctiv
ities
MC
R(N
L,N
L)
Res
ult
MC
R(N
L,L)
Res
ult
C00
10C
0020
Line
ar fo
rmul
a co
mpo
nent
for
non-
life
insu
ranc
e an
d re
insu
ranc
e ob
ligat
ions
R00
1022
2,49
5,87
2
-
Net
(of
rein
sura
nce/
SPV
) be
st e
stim
ate
and
TP c
alcu
late
d as
a w
hole
Net
(of
rein
sura
nce)
w
ritte
n pr
emiu
ms
in th
e la
st 1
2 m
onth
s
Net
(of
rein
sura
nce/
SPV)
be
st e
stim
ate
and
TP c
alcu
late
d as
a
who
le
Net
(of
rein
sura
nce)
w
ritte
n pr
emiu
ms
in th
e la
st 1
2 m
onth
s
C00
30C
0040
C00
50C
0060
Med
ical
exp
ense
insu
ranc
e an
d pr
opor
tiona
l rei
nsur
ance
R00
206,
184,
381
17,1
31,5
99
-
-
Inco
me
prot
ectio
n in
sura
nce
and
prop
ortio
nal r
eins
uran
ceR
0030
41,0
74,1
11
87,0
22,3
27
-
-
Wor
kers
' com
pens
atio
n in
sura
nce
and
prop
ortio
nal r
eins
uran
ceR
0040
-
-
-
-
Mot
or v
ehic
le li
abili
ty in
sura
nce
and
prop
ortio
nal r
eins
uran
ceR
0050
986,
571,
969
66
5,52
3,56
7
-
-
O
ther
mot
or in
sura
nce
and
prop
ortio
nal r
eins
uran
ceR
0060
55,4
24,6
47
122,
125,
070
-
-
Mar
ine,
avi
atio
n an
d tra
nspo
rt in
sura
nce
and
prop
ortio
nal r
eins
uran
ceR
0070
4,61
3,27
7
3,
805,
811
-
-
Fire
and
oth
er d
amag
e to
pro
perty
insu
ranc
e an
d pr
opor
tiona
l rei
nsur
ance
R00
8066
,876
,753
91
,392
,247
-
-
G
ener
al li
abili
ty in
sura
nce
and
prop
ortio
nal r
eins
uran
ceR
0090
126,
940,
953
57
,228
,083
-
-
C
redi
t and
sur
etys
hip
insu
ranc
e an
d pr
opor
tiona
l rei
nsur
ance
R01
0035
,077
,296
1,
701,
508
-
-
Lega
l exp
ense
s in
sura
nce
and
prop
ortio
nal r
eins
uran
ceR
0110
-
1,58
1,05
8
-
-
A
ssis
tanc
e an
d pr
opor
tiona
l rei
nsur
ance
R01
202,
403,
961
15,7
97,9
41
-
-
Mis
cella
neou
s fin
anci
al lo
ss in
sura
nce
and
prop
ortio
nal r
eins
uran
ceR
0130
-
48,1
35,0
73
-
-
Non
-pro
porti
onal
hea
lth re
insu
ranc
eR
0140
-
-
-
-
Non
-pro
porti
onal
cas
ualty
rein
sura
nce
R01
50-
-
-
-
N
on-p
ropo
rtion
al m
arin
e, a
viat
ion
and
trans
port
rein
sura
nce
R01
60-
-
-
-
N
on-p
ropo
rtion
al p
rope
rty re
insu
ranc
eR
0170
-
-
-
-
Non
-life
act
iviti
esLi
fe a
ctiv
ities
92
Vitt
oria
Ass
icur
azio
ni S
.p.A
.
S.2
8.02
.01
Min
imum
Cap
ital R
equi
rem
ent
--- co
ntin
ued
No
n-l
ife
ac
tiviti
es
Life
ac
tiviti
es
MC
R(L
,NL)
R
esul
tM
CR
(L,L
) R
esul
t
C0
07
0C
00
80
Lin
ea
r fo
rmu
la c
om
po
ne
nt
for
life
in
sura
nc
e a
nd
re
insu
ran
ce
ob
liga
tion
sR
02
00
-
45,4
59,2
24
Net
(of
re
insu
ranc
e/S
PV
) b
est
estim
ate
and
TP
cal
cula
ted
as
a w
hole
Net
(of
re
insu
ranc
e/
SP
V)
tota
l cap
ital
at r
isk
Net
(of
re
insu
ranc
e/S
PV
) b
est
estim
ate
and
TP
cal
cula
ted
as
a w
hole
Net
(of
re
insu
ranc
e/
SP
V)
tota
l ca
pita
l at
risk
C0
09
0C
01
00
C0
11
0C
01
20
Ob
ligat
ions
with
pro
fit p
artic
ipat
ion
— g
uara
ntee
d b
enef
itsR
02
10
-
1,
136,
225,
911
R0
22
0-
22,9
32,5
53
Ind
ex-li
nked
and
uni
t-lin
ked
insu
ranc
e ob
ligat
ions
R0
23
0-
67,1
23,1
87
Oth
er li
fe (
re)in
sura
nce
and
hea
lth (
re)in
sura
nce
oblig
atio
nsR
02
40
-
29
,265
,586
To
tal c
apita
l at
risk
for
all l
ife (
re)in
sura
nce
oblig
atio
nsR
02
50
-
5,
035,
855,
212
Ove
rall
MC
R c
alc
ula
tion
C0
13
0Li
near
MC
RR
03
00
267
,953
,602
S
CR
R0
31
042
4,97
6,54
2
MC
R c
apR
03
20
191
,239
,444
M
CR
flo
orR
03
30
106
,244
,136
C
omb
ined
MC
RR
03
40
191
,239
,444
A
bso
lute
flo
or o
f th
e M
CR
R0
35
07,
400,
000
C
01
30
Min
imu
m C
ap
ital R
eq
uir
em
en
tR
04
00
191,
239,
444
No
tion
al n
on
-life
an
d li
fe M
CR
ca
lcu
latio
nN
on
-life
a
ctiv
itie
sL
ife a
ctiv
itie
s
C0
14
0C
01
50
Not
iona
l lin
ear
MC
RR
05
00
222,
494,
379
45
,459
,224
N
otio
nal S
CR
exc
lud
ing
ad
d-o
n (a
nnua
l or
late
st c
alcu
latio
n)R
05
10
352,
877,
852
72
,098
,690
Not
iona
l MC
R c
apR
05
20
158,
795,
034
32
,444
,410
N
otio
nal M
CR
flo
orR
05
30
88, 2
19,4
64
18,0
24,6
72
Not
iona
l Com
bin
ed M
CR
R0
54
015
8,79
5,03
4
32,4
44,4
10
Ab
solu
te f
loor
of
the
notio
nal M
CR
R0
55
03,
700,
000
3,70
0,00
0
Not
iona
l MC
RR
05
60
158,
795,
034
32
,444
,410
Ob
ligat
ions
with
pro
fit p
artic
ipat
ion
— f
utur
e d
iscr
etio
nary
ben
efits
No
n-l
ife a
ctiv
itie
sL
ife a
ctiv
itie
s
93
Report of Independent auditors
95
Ancona Bari Bergamo Bologna Brescia Cagliari Firenze Genova Milano Napoli Padova Palermo Parma Roma Torino Treviso Verona Sede Legale: Via Tortona, 25 – 20144 Milano │ Capitale Sociale Euro 10.328.220,00 i.v. Codice Fiscale/Registro delle Imprese Milano n. 03049560166 – REA Milano n. 1720239 │ Partita IVA IT 03049560166
Il nome Deloitte si riferisce a una o più delle seguenti entità: Deloitte Touche Tohmatsu Limited, una società inglese a responsabilità limitata (“DTTL”), le member
firm aderenti al suo network e le entità a esse correlate. DTTL e ciascuna delle sue member firm sono entità giuridicamente separate e indipendenti tra loro. DTTL (denominata anche “Deloitte Global”) non fornisce servizi ai clienti. Si invita a leggere l’informativa completa relativa alla descrizione della struttura legale di Deloitte
![VITTORIA ASSICURAZIONI FINAL 2.ppt [modalità compatibilità] Relations/PDF... · Group net profit for the year/Group average shareholders’ equity (group opening shareholders’](https://static.documents.pub/doc/80x56/5f05ea367e708231d4155b05/vittoria-assicurazioni-final-2ppt-modalit-compatibilit-relationspdf.jpg)
